14
Table 6. Soybeans 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 |
0.000 |
0.073 |
0.093 |
0.103 |
0.102 |
0.091 |
0.068 |
-0.867 |
-0.008 |
-0.063 |
|
0.10 |
0.137 |
0.183 |
0.218 |
0.243 |
0.257 |
0.261 |
0.254 |
0.236 |
0.207 |
0.168 |
0.118 |
|
0.20 |
0.253 |
0.304 |
0.344 |
0.373 |
0.392 |
0.400 |
0.397 |
0.383 |
0.359 |
0.325 |
0.279 |
|
0.30 |
0.349 |
0.404 |
0.449 |
0.483 |
0.506 |
0.518 |
0.520 |
0.511 |
0.491 |
0.461 |
0.420 |
|
0.40 |
0.425 |
0.485 |
0.534 |
0.572 |
0.600 |
0.616 |
0.623 |
0.618 |
0.603 |
0.577 |
0.540 |
|
0.50 |
0.481 |
0.545 |
0.599 |
0.641 |
0.673 |
0.695 |
0.705 |
0.705 |
0.694 |
0.670 |
0.641 |
|
0.60 |
0.517 |
0.585 |
0.643 |
0.690 |
0.727 |
0.753 |
0.768 |
0.772 |
0.809 |
0.749 |
0.721 |
|
0.70 |
0.533 |
0.606 |
0.668 |
0.719 |
0.760 |
0.790 |
0.810 |
0.819 |
0.817 |
0.804 |
0.781 |
|
0.80 |
0.528 |
0.605 |
0.672 |
0.728 |
0.773 |
0.808 |
0.832 |
0.845 |
0.848 |
0.840 |
0.821 |
|
0.90 |
0.503 |
0.585 |
0.656 |
0.717 |
0.766 |
0.806 |
0.834 |
0.852 |
0.859 |
0.855 |
0.841 |
|
1,00 |
0,458 |
0,545 |
0,620 |
0,685 |
0,739 |
0,783 |
0,816 |
0,838 |
0,849 |
0,850 |
0,840 |
HRp and HRy are hedge ratios for price and yield futures contracts respectively.
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