Time‐varying Hedge Ratios: A Principal‐agent Approach
利用经典委托代理模型推导出低频时间序列数据的最优时变对冲比率，并应用于荷兰马铃薯产业，发现1971-2003年最优对冲比率从0.34降至0.24，对冲有效性为39%，比单纯价格风险最小化更符合农民实际需求。
Abstract We use the classic agency model to derive a time‐varying optimal hedge ratio for low‐frequency time‐series data: the type of data used by crop farmers when deciding about production and about their hedging strategy. Rooted in the classic agency framework, the proposed hedge ratio reflects the context of both the crop farmer's decision and the crop farmer's contractual relationships in the marketing channel. An empirical illustration of the Dutch ware potato sector and its futures market in Amsterdam over the period 1971–2003 reveals that the time‐varying optimal hedge ratio decreased from 0.34 in 1971 to 0.24 in 2003. The hedging effectiveness, according to this ratio, is 39%. These estimates conform better with farmers’ interest in using futures contracts for hedging purposes than the much higher estimates obtained when price risk minimisation is the only objective considered.