Table 4. Summarized Optimal Hedge Ratio in Response to Transaction Cost
|
Optimal Hedge Ratios (With CCP) | ||||
|
Year1 |
Year2 |
Year3 Year4 |
Year5 | |
|
Mean |
0.4207 |
0.3856 |
0.3651 0.3520 |
0.2677 |
|
Max |
0.4221 |
0.3862 |
0.3655 0.3523 |
0.2679 |
|
Min |
0.4195 |
0.3849 |
0.3648 0.3517 |
0.2676 |
|
Range |
0.0026 |
0.0013 |
0.0008 0.0005 |
0.0002 |
Optimal Hedge Ratios (No CCP)
|
Year1 |
Year2 |
Year3 |
Year4 |
Year5 | |
|
Mean |
0.6100 |
0.5398 |
0.4972 |
0.4780 |
0.3933 |
|
Max |
0.6119 |
0.5405 |
0.4976 |
0.4784 |
0.3935 |
|
Min |
0.6083 |
0.5389 |
0.4967 |
0.4776 |
0.3932 |
|
Range |
0.0036 |
0.0016 |
0.0009 |
0.0008 |
0.0003 |
Note: The hedging transaction cost varies from $0/bushel to $0.02/bushel.
48
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