• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文学位 >Dynamic risk management strategies for and ethanol producer with impacts of ethanol production on the U.S. corn prices.
【24h】

Dynamic risk management strategies for and ethanol producer with impacts of ethanol production on the U.S. corn prices.

机译：乙醇生产商的动态风险管理策略，其中乙醇生产对美国玉米价格有影响。

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This dissertation explores dynamic risk management strategies for an ethanol plant after considering impacts of ethanol production on the U.S. corn prices. The objectives of this research are to investigate coincidental impacts of ethanol production and exchange rates on the U.S. corn prices and to develop dynamic risk management strategies for an ethanol producer using the futures markets.;The significant growth in ethanol production and continuous depreciation of the dollar are important in explaining the corn prices over the last few years. However, the total impacts from ethanol and the dollar do not fully explain the increase in corn prices during the last 2 years. This suggests other factors have influenced corn prices in recent years. One factor often pointed to is speculative trade on the corn futures market. Another factor to consider is the low level of corn stocks during 2006 and 2007 marketing years.;Dynamic risk management strategies are developed to maximize an ethanol producer's utility function under various states of risks. By adopting the dynamic programming hedge model an ethanol firm can increase overall utility levels. To account for time varying volatility of price changes, bivariate GARCH (BGARCH) estimation is applied to obtain another set of optimal hedge ratios. From the analysis of hedging effectiveness, the BGARCH hedge strategy is found to be the most effective tool in reducing variance of profits. When considering both profit levels and variances, weighted by risk aversion levels, the BGARCH hedge with RBOB futures yields the highest utility level for all levels of risk aversion. The BGARCH hedge is dominant among all risk management methods studied in this research in terms of maximizing utility. This dominance comes from the property of the BGARCH model that concerns the time varying volatility of commodity prices.
机译：本文在考虑了乙醇生产对美国玉米价格的影响之后，探索了乙醇工厂的动态风险管理策略。这项研究的目的是调查乙醇生产和汇率对美国玉米价格的偶然影响，并为使用期货市场的乙醇生产商制定动态风险管理策略。乙醇生产的显着增长和美元的持续贬值在解释过去几年中的玉米价格时非常重要。但是，乙醇和美元的总影响不能完全解释过去两年玉米价格的上涨。这表明近年来还有其他因素影响了玉米价格。人们经常指出的一个因素是玉米期货市场上的投机交易。另一个要考虑的因素是2006和2007销售年度的玉米库存水平低。动态风险管理策略的制定是为了在各种风险状态下最大化乙醇生产商的效用。通过采用动态规划对冲模型，乙醇公司可以提高整体效用水平。为了解决价格变化随时间变化的波动性，应用了双变量GARCH（BGARCH）估计以获得另一套最佳套期保值比率。通过对冲有效性的分析，发现BGARCH对冲策略是减少利润差异的最有效工具。当同时考虑获利水平和方差（由风险规避水平加权）时，使用RBOB期货的BGARCH套期保值在所有风险规避水平下均具有最高效用水平。就最大化效用而言，BGARCH套期保值是本研究研究的所有风险管理方法中的主导。这种优势来自BGARCH模型的属性，该模型涉及商品价格随时间变化的波动性。

著录项

  • 作者

    Park, Hwanil.;

  • 作者单位

    The University of Wisconsin - Madison.;

  • 授予单位 The University of Wisconsin - Madison.;
  • 学科 Economics Agricultural.
  • 学位 Ph.D.
  • 年度 2009
  • 页码 147 p.
  • 总页数 147
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号