돈육선물 헤지, 어떻게 할 것인가? - 양돈업자의 경우 -

초록

The objective of this study is to determine the hedge effectiveness from the hedge by the hog producers. The minimum variance hedge ratios are obtained from the OLS regression of spot price on the lean hog futures price. The hedge effectiveness are estimated before and after specific events: H1N1 and foot-and-mouth disease. THe results of this study show that the hedging is effective when there exists high correlations between spot and futures prices, when is a long term hedging, and when the spot price level is one standard deviation higher than the average price.

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