17
Table 9. Soybeans 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 |
-0.021 |
-0.053 |
-0.096 |
-0.150 |
-0.215 |
-0.291 |
-0.378 |
-0.476 |
-0.585 | |
|
0.10 |
0.134 |
0.124 |
0.103 |
0.072 |
0.029 |
-0.024 |
-0.089 |
-0.164 |
-0.251 |
-0.348 |
-0.457 |
|
0.20 |
0.247 |
0.248 |
0.239 |
0.219 |
0.188 |
0.145 |
0.092 |
0.028 |
-0.047 |
-0.133 |
-0.230 |
|
0.30 |
0.339 |
0.352 |
0.354 |
0.345 |
0.325 |
0.295 |
0.253 |
0.200 |
0.136 |
0.062 |
-0.024 |
|
0.40 |
0.411 |
0.435 |
0.448 |
0.451 |
0.442 |
0.423 |
0.392 |
0.351 |
0.299 |
0.235 |
0.161 |
|
0.50 |
0.461 |
0.497 |
0.522 |
0.536 |
0.539 |
0.530 |
0.511 |
0.481 |
0.440 |
0.388 |
0.325 |
|
0.60 |
0.491 |
0.538 |
0.574 |
0.600 |
0.614 |
0.617 |
0.610 |
0.591 |
0.561 |
0.521 |
0.469 |
|
0.70 |
0.500 |
0.559 |
0.606 |
0.643 |
0.669 |
0.683 |
0.687 |
0.680 |
0.661 |
0.632 |
0.592 |
|
0.80 |
0.489 |
0.559 |
0.617 |
0.665 |
0.702 |
0.728 |
0.744 |
0.748 |
0.741 |
0.723 |
0.694 |
|
0.90 |
0.456 |
0.538 |
0.608 |
0.667 |
0.716 |
0.753 |
0.779 |
0.795 |
0.799 |
0.793 |
0.775 |
|
1,00 |
0,403 |
0,496 |
0,577 |
0,648 |
0,708 |
0,757 |
0,794 |
0,821 |
0,837 |
0,842 |
0,836 |
HRp and HRy are hedge ratios for price and yield futures contracts respectively.
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