16
Table 8. Corn Hedging Effectiveness under Beta Yields
|
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 |
-0.059 |
-0.134 |
-0.227 |
-0.336 |
-0.462 |
-0.605 |
-0.765 |
-0.942 |
-1.136 | |
|
0.10 |
0.083 |
0.040 |
-0.021 |
-0.098 |
-0.192 |
-0.302 |
-0.430 |
-0.574 |
-0.736 |
-0.914 |
-1.109 |
|
0.20 |
0.149 |
0.121 |
0.076 |
0.015 |
-0.064 |
-0.159 |
-0.271 |
-0.400 |
-0.546 |
-0.709 |
-0.888 |
|
0.30 |
0.198 |
0.186 |
0.156 |
0.110 |
0.047 |
-0.033 |
-0.129 |
-0.243 |
-0.373 |
-0.520 |
-0.685 |
|
0.40 |
0.230 |
0.233 |
0.220 |
0.189 |
0.141 |
0.077 |
-0.004 |
-0.102 |
-0.217 |
-0.349 |
-0.498 |
|
0.50 |
0.246 |
0.264 |
0.266 |
0.251 |
0.219 |
0.170 |
0.104 |
0.021 |
-0.078 |
-0.194 |
-0.328 |
|
0.60 |
0.245 |
0.279 |
0.296 |
0.296 |
0.279 |
0.246 |
0.195 |
0.128 |
0.044 |
-0.057 |
-0.174 |
|
0.70 |
0.227 |
0.276 |
0.309 |
0.324 |
0.323 |
0.305 |
0.270 |
0.218 |
0.150 |
0.064 |
-0.038 |
|
0.80 |
0.192 |
0.257 |
0.305 |
0.336 |
0.350 |
0.347 |
0.328 |
0.292 |
0.238 |
0.168 |
0.082 |
|
0.90 |
0.140 |
0.220 |
0.284 |
0.330 |
0.360 |
0.373 |
0.369 |
0.348 |
0.310 |
0.256 |
0.184 |
|
1,00 |
0,071 |
0,167 |
0,246 |
0,308 |
0,353 |
0,382 |
0,393 |
0,388 |
0,365 |
0,326 |
0,270 |
HRp and HRy are hedge ratios for price and yield futures contracts respectively.
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