Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., naïve, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.

Price transmission between futures and spot prices is a relevant issue, dealing with derivatives exchange for price management practices and efficient price discovery. Indeed, due to the increased market orientation of the Common Agricultural Policy, the development of new market strategies is of utmost importance for European farmers. In this context, this study examines the degree of transmission for the corn commodity between global futures price in either the Chicago Board of Trade or Euronext and the spot prices for a selection of Member States of the European Union. This study provides critical insights into the shape of the futures–spot price transmission, confirming a long‐run relationship and a cointegrating behaviour of price sets. [EconLit Citations: Q02, Q14, E3].

Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship | Carlotta Penone, Samuele Trestini | Agricultural Journals