Factores críticos para la cobertura de riesgos en transacciones bursátiles de productos agroalimentarios
ISBN
92-9039-473 0ISSN
1607-1972Fecha de publicación
2000Ubicación
San José, Costa Rica
Tipo
Libro
Metadatos
Mostrar registro completoTítulo alternativo
Optimal hedging under nonlinear borrowing cost, progressive tax rates and liquidity constraints
Descripción
Obra disponible en idiomas español e inglés. Resumen solamente en inglés.
Resumen
Empirical research using optimal hedge ratios usually suggests that producers should hedge much more than they do. In this study, a new theoretical model of hedging is derived. Optimal hedge and leverage ratios and their relationships with yield risk, price variability, basis risk, taxes, and financial risk are determined using alternative assumptions. The motivation to hedge is provided by progressive tax rates and cost of bankruptcy. An empirical example for a wheat and stocker-steer producer is provided. Results show that there are many factors, Often assumed in the literature, that make farmers hedge little or none. Progressive tax rates provide an incentive for farmers to hedge in order to reduce their taxes liabilities and increase their after-tax income. Farmers will hedge when cost of hedging is less than the benefits of hedging Is less than the benefits of hedging which come from reducing tax liabilities, liquidity costs, or bankruptcy costs. When tax loss carry back is allowed, hedging decreases as the amount of tax loss carried back increases.Higher profitability makes benefits from futures trading negligible and hedging unattractive, since farmers move to higher income brackets with near constant marginal tax rates. Increasing basis risk or yield risk also reduces the incentive to hedge.
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Representación
Sede Central
Publicador
Instituto Interamericano de Cooperación para la Agricultura (IICA)
URI (Enlace permanente para citar o compartir este ítem)
https://repositorio.iica.int/handle/11324/20393Colecciones
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