Hedging Multiple Price Uncertainty in International Grain Trade
分析商品和运费期货合约对国际谷物贸易商降低多重价格风险的效果，发现使用多元GARCH方法动态估计对冲比率能显著降低风险，即使考虑交易成本后也有效。
Abstract Commodity and freight futures contracts are analyzed for their effectiveness in reducing uncertainty for international traders. A theoretical model is developed for a trader exposed to several types of risk. OLS hedge ratio estimation is compared to the SUR and the multivariate GARCH methodologies. Explicit modeling of the time‐variation in hedge ratios via the multivariate GARCH methodology, using all derivatives, and taking into account dependencies between prices, results in reductions in risk, even after accounting for transaction costs. Results confirm that while the commodity futures contracts are important for hedging risk, freight futures are a useful mechanism for reducing risk.