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Hedging net firm income for Florida ...

Zylstra, Michael John.

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Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk./
Author:	Zylstra, Michael John.
Description:	141 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1893.
Contained By:	Dissertation Abstracts International65-05A.
Subject:	Economics, Agricultural. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3135231
ISBN:	0496824554

Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk.
Zylstra, Michael John.

Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk. - 141 p.

Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1893.

Thesis (Ph.D.)--University of Florida, 2004.

Production risk and coverage under MILC impact the producer's ability to hedge. The MILC program is a direct-payment program designed to help producers cope with price risk. Larger producers quickly exhaust coverage under MILC. Furthermore, production risk varies by season for dairy producers. Various degrees of production risk and MILC coverage ensure that producers face a dynamic risk environment. This research attempts to estimate the producer's minimum risk hedge ratio using class III futures and options under various MILC, production risk and capital structure scenarios.

ISBN: 0496824554Subjects--Topical Terms:

626648
Economics, Agricultural.

Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk.
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100 1 $a Zylstra, Michael John. $3 1939222
245 1 0 $a Hedging net firm income for Florida dairy producers: A case study with an application of the conditional value at risk.
300 $a 141 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1893.
500 $a Chair: Richard L. Kilmer.
502 $a Thesis (Ph.D.)--University of Florida, 2004.
520 $a Production risk and coverage under MILC impact the producer's ability to hedge. The MILC program is a direct-payment program designed to help producers cope with price risk. Larger producers quickly exhaust coverage under MILC. Furthermore, production risk varies by season for dairy producers. Various degrees of production risk and MILC coverage ensure that producers face a dynamic risk environment. This research attempts to estimate the producer's minimum risk hedge ratio using class III futures and options under various MILC, production risk and capital structure scenarios.
520 $a Monte Carlo simulation was used to forecast the difference between milk revenue and expenses. The mailbox price was estimated as the sum of the blend price and over order premium. The stochastic process used to define the blend price was based on a modified binomial tree that modeled price movements in the class III market. The binomial tree was modified in order to compensate for the idiosyncrasies of the dairy industry, namely the milk price-support program. Class I, II, and IV prices were modeled relative to the class III prices using historical data. The over order premium was estimated using historical data. Stochastic utilization and milk production per cow estimates were calculated using historical data. Producer expenses were defined using survey data. Linear regression was used to determine the sensitivity of total cost to changing levels of production.
520 $a Our study compares the minimum risk level attainable using futures and options under various policy, production risk and capital structure scenarios. This research has found that the minimum risk hedge ratio decreases drastically when the producer is completely covered under MILC. The preceding result can be explained by the fact that the deficiency payments received under MILC are similar to the payments received from a European put option. This yields a substitution effect limiting the effectiveness of class III futures and options. Production risk also decreases the minimum risk hedge ratio although not nearly as drastically. The firm's use of debt shifts the risk measure by the amount the producer pays in interest. The producer's ability to risk balance is limited by the risk surface faced.
590 $a School code: 0070.
650 4 $a Economics, Agricultural. $3 626648
650 4 $a Economics, Finance. $3 626650
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690 $a 0508
710 2 0 $a University of Florida. $3 718949
773 0 $t Dissertation Abstracts International $g 65-05A.
790 1 0 $a Kilmer, Richard L., $e advisor
790 $a 0070
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3135231