13
Table 5. Corn Hedging Effectiveness Estimates using Price and Yield Futures
|
HRy | |||||||||||
|
HRp |
0.00 |
0.10 |
0.20 |
0.30 |
0.40 |
0.50 |
0.60 |
0.70 |
0.80 |
0.90 |
1.00 |
|
0.00 |
0.000 |
0.053 |
0.088 |
0.107 |
0.109 |
0.095 |
0.063 |
0.015 |
-0.050 |
-0.131 |
-0.230 |
|
0.10 |
0.089 |
0.145 |
0.185 |
0.208 |
0.214 |
0.204 |
0.176 |
0.132 |
0.071 |
-0.007 |
-0.102 |
|
0.20 |
0.161 |
0.221 |
0.265 |
0.292 |
0.302 |
0.295 |
0.272 |
0.231 |
0.174 |
0.100 |
0.010 |
|
0.30 |
0.216 |
0.280 |
0.328 |
0.359 |
0.373 |
0.370 |
0.350 |
0.314 |
0.261 |
0.191 |
0.104 |
|
0.40 |
0.254 |
0.322 |
0.374 |
0.408 |
0.426 |
0.427 |
0.412 |
0.379 |
0.330 |
0.264 |
0.181 |
|
0.50 |
0.275 |
0.347 |
0.402 |
0.441 |
0.463 |
0.468 |
0.456 |
0.428 |
0.382 |
0.320 |
0.241 |
|
0.60 |
0.279 |
0.355 |
0.414 |
0.457 |
0.483 |
0.491 |
0.484 |
0.459 |
0.418 |
0.360 |
0.285 |
|
0.70 |
0.266 |
0.346 |
0.409 |
0.455 |
0.484 |
0.498 |
0.494 |
0.473 |
0.436 |
0.382 |
0.311 |
|
0.80 |
0.236 |
0.320 |
0.387 |
0.437 |
0.471 |
0.488 |
0.487 |
0.471 |
0.437 |
0.387 |
0.320 |
|
0.90 |
0.188 |
0.276 |
0.347 |
0.402 |
0.439 |
0.460 |
0.464 |
0.451 |
0.422 |
0.375 |
0.312 |
|
1,00 |
0,124 |
0,216 |
0,291 |
0,349 |
0,391 |
0,415 |
0,423 |
0,414 |
0,389 |
0,346 |
0,287 |
HRp and HRy are hedge ratios for price and yield futures contracts respectively.