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1.
A new approach for weather index‐based insurance design based on Quantile Regression (QR) to condition the yield‐index dependency is developed and compared to standard regression technique. Three conceptual different risk measures, i.e., Expected Utility, Expected Shortfall and a Spectral Risk Measure, are used to evaluate the risk reducing properties of these contracts. Our findings show that QR is much more powerful in establishing the yield‐index dependency and lead for all risk measures to a higher risk reduction than the standard technique ordinary least squares (OLS). Thus, QR leads to a more efficient contract design, which is beneficial for both, the insurer (smaller remaining risk) and the insured (higher demand and willingness to pay). Our empirical application is based on a 31 years long time series of wheat yield data from Northern Kazakhstan. 相似文献
2.
While many crop insurance systems have been reformed around the world, few academic researches have addressed the determinants of the decision on crop insurance at the farm's micro level. In this article, both the financial and the agricultural literature lead to the identification of many rationales for the crop insurance decision. Using data from the period 2003–2006 on a representative survey of French farms (FADN‐RICA), we investigate the different factors that incite farmers to insure against crop risk. We emphasize that the highest risk farms are more likely to have insurance and this decision is positively related to the past amount of claims. Insurance is subscribed by larger farms because insurance appears too expensive for smaller farms, which are indeed naturally less diversified. Interestingly, financial variables (such as capital structure or return on investment) do not significantly determine the insurance decision. 相似文献
3.
Peter S. Sephton 《Agricultural Economics》2009,40(1):103-111
Jin and Frechette (2004) examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long-run and short-run memory when modeling conditional variances. The purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic, with many exhibiting significant leverage effects, a result not previously reported. 相似文献
4.
Alexander Sarris 《Agricultural Economics》2013,44(4-5):381-384
This introductory paper highlights the key attributes of weather index insurance, and summarizes the major points and conclusions of the three subsequent papers included in the special issue. 相似文献
5.
Kristin H. Roll 《Agricultural Economics》2019,50(3):367-375
While there is a large body of literature investigating the effect of crop and livestock insurance on input and yield, limited attention has been paid to the effect of insurance on efficiency. This article investigates how insurance affects technical efficiency and whether insurance alters the utilized input quantity to a riskier bundle using the Norwegian salmon farming industry as a case. The results illustrate that insurance has an enhancing effect on production and efficiency and changes the utilized input mix—a well‐insured farmer uses more feed and less capital and labor than a less‐insured farmer. When linking this to each input's risk profile, the results indicate that insurance will induce the use of the risk‐increasing factor (feed) and reduce the use of the risk‐decreasing factors (labor and capital)—thereby increasing production risk and indicating moral hazard. 相似文献
6.
Xiaohui Deng Barry J. Barnett Dmitry V. Vedenov Joe W. West 《Agricultural Economics》2007,36(2):271-280
This article proposes a temperature–humidity index insurance product and examines whether this product can effectively protect against the risk of reduced milk production caused by heat stress. Results suggest that even when premiums are at higher than actuarially fair levels and the insurance purchaser is faced with both spatial and temporal basis risks, a temperature–humidity index insurance product would provide risk management benefits to a representative south‐central Georgia dairy producer. 相似文献
7.
This article offers a comprehensive analysis of the problem of choosing between alternative market risk management instruments. We model farmers' behavior to optimize the certainty equivalent, formulated by a mean–variance model, by combining instruments with and without basis risk. Results are expressed as the demands for hedging with futures, forward contracts and insurance. Theoretical results are applied to a selection of Spanish producers of fresh potatoes, a sector that is exposed to significant market risks. Amsterdam's Euronext provides potato futures prices, and the recently launched revenue insurance in Spain provides the example for price insurance. Three conclusions summarize the article's main findings. First, we show that Spanish potato revenue insurance subsidies are a factor that determines the instrument rankings and choice. Second, the efficiency of insurance subsidies is generally low. Finally, the Amsterdam potato futures market does not provide a cost‐effective means to manage price risks for Spanish fresh potato growers. 相似文献
8.
The article explores the relationship between fertilizer use and the demand for weather index insurance (WII) among smallholder farmers in Ethiopia. We examine whether fertilizer use is profitable under current smallholder production conditions, whether risk‐related factors affect fertilizer use, and we estimate the returns to inputs in the agricultural production function in the absence of insurance. We then study how these primitives of agricultural production functions relate to insurance demand. The study compares a survey‐based estimate of willingness to pay with actual uptake for the weather insurance, finding the stated and actual demand to be almost completely uncorrelated. While those with high marginal returns to inputs say they would purchase insurance, only those with low marginal returns actually do, consistent with the stated purpose of the product as input insurance. Insurance demand proves to be highly responsive to the existence and amount of randomly allocated insurance vouchers. 相似文献
9.
Sophie van Huellen 《Agricultural Economics》2018,49(2):171-181
Convergence between commodity futures prices and the underlying physical assets at each contract's expiration date is a pivotal condition for the market's functioning. Between 2005 and 2010, convergence failed for several U.S. grain markets. This article presents a price pressure‐augmented commodity storage model that links the scale of nonconvergence to financial investment channeled through indices, which are traded in commodity futures markets. The model is empirically tested, using Markov regime‐switching regression analysis. Regression results strongly support the model's predicted link between index investment and the extent of nonconvergence for three grains traded at the Chicago Board of Trade: wheat, corn, and soybeans. 相似文献
10.
We investigate how lumber futures returns are affected by monthly housing starts announcements and analyze the dependence of the response on lumber inventories and time to delivery. To do so we develop a generalized least squares (GLS) method to jointly analyze simultaneously traded contracts. We find that increases in the unanticipated component of housing starts announcements increase returns on lumber futures contracts. Further, and as predicted by the theory of storage but previously unrecorded, the effects of housing starts shocks decline with lumber inventories. There is also a time-to-delivery effect: near-delivery contracts respond more sharply to housing starts news than do farther-out contracts. 相似文献
11.
David Ubilava 《Agricultural Economics》2015,46(2):245-257
Predictive models of climatic phenomena can aid in insurance program design and decision making. Extreme weather outcomes have been linked to the El Niño Southern Oscillation (ENSO), which globally impacts agricultural production. This study demonstrates that extreme ENSO events alter cotton yield distributions in the Southeastern United States. These impacts translate into economically meaningful effects on crop insurance premium rates. Commercial insurers can use publicly available information to determine if government‐set premium rates are mispriced, and in turn extract economic rents via the federally mandated Standard Reinsurance Agreement. By ceding underpriced policies in El Niño and La Niña years, we find that private insurance companies can reduce paid indemnities by 10–15% on average. 相似文献
12.
Sub‐Saharan Africa (SSA) is one of the regions in the world most affected by food price volatility and production variability. Poor small‐scale farmers in this region are particularly vulnerable to this variability. As a result, households may be reluctant to adopt new agricultural water management (AWM) technologies when they involve more risk than what they mitigate. Despite risk's role in AWM investments, there have been few attempts to estimate the magnitude and nature of risk aversion in relation to this type of farm decisions. To partially close this gap, this article uses an experimental approach applied to 137 households in Northern Ghana. We find that more than 70% of households are moderately or slightly risk averse. This contrasts with other studies in SSA, where most household decision‐makers exhibit severe to extreme risk aversion. We also find that households that stand to lose as well as gain something from participation in games are less risk averse than households playing gains‐only games. This result suggests that most farmers’ current wealth put them at risk of falling into a poverty trap. Thus, the losses from the riskiest investments on AWM technologies may fall more heavily on the poor, suggesting that additional efforts be given to the creation of viable insurance mechanisms. 相似文献
13.
Scott H. Irwin 《Agricultural Economics》2013,44(Z1):29-41
The “Masters Hypothesis” is the claim that unprecedented buying pressure in recent years from commodity index investors created massive bubbles in food and energy prices. The purpose of this article is to review the evidence from recent studies that investigate the empirical relationship between index investment and price movements in agricultural futures markets. One line of research uses time‐series regression tests, such as Granger causality tests, to investigate the relationship between price movements and index positions. This research provides little evidence in support of the Masters Hypothesis in agricultural futures markets. A second line of research uses cross‐sectional regression tests and studies in this area provide very limited evidence in favor of the Masters Hypothesis for agricultural futures markets. A third line of research investigates whether there is a significant relationship between commodity index trading and the difference, or spread, between futures prices of different contract maturities on the same date. These studies report a range of results depending on the type of test. However, the bulk of the evidence indicates either no relationship or a negative relationship, which is once again inconsistent with the Masters Hypothesis. Overall, this growing body of literature fails to find compelling evidence that buying pressure from commodity index investment in recent years caused a massive bubble in agricultural futures prices. The Masters Hypothesis is simply not a valid characterization of reality. 相似文献
14.
Tom Hertz 《Agricultural Economics》2009,40(2):161-176
This article documents a relationship between nonfarm income (primarily earnings and pensions) and agricultural investment in Bulgaria, specifically, expenditures on working capital (variable inputs such as feed, seed, and herbicides) and investment in livestock. Among those with positive spending on farm inputs, the estimated elasticity of these expenditures with respect to nonfarm income is 0.14. Nonfarm income also has an effect on the number of households that purchase farm animals, with an estimated elasticity of 0.35. The use of nonfarm income for farm investment is consistent with the presence of credit constraints, as is the fact that less than one percent of farmers report outstanding debts for agricultural purposes. Yet many farm households take out large unsecured loans for other purposes, primarily to cover consumption expenditures, implying that credit is available, but that farmers prefer not to use borrowed funds to finance agricultural investment. This would suggest that increases in the availability of agricultural credit may have little effect on farm outcomes, whereas increases in nondebt-financed sources of liquidity, such as subsidies or transfers, may better stimulate investment. 相似文献
15.
Martin Petrick 《Agricultural Economics》2005,33(2):191-203
Empirical analysis of rural credit market failure has been of key scientific and political interest in recent years. The aim of this article is to give an overview of the various methods for measuring credit rationing that are employed in the literature. Furthermore, the methods are subjected to a comparative evaluation of their specific strengths or shortcomings. Six approaches are distinguished: measurement of loan transaction costs, analysis of qualitative information collected in interviews, analysis of quantitative information collected in interviews using the credit limit concept, analysis of spill‐over effects with regard to secondary credit sources, econometric household modeling, and the econometric analysis of dynamic investment decisions. An explicit comparison with a first‐best solution is impossible in the first three approaches, since they essentially rely on a subjective assessment of borrowers' access to credit, based on qualitative or quantitative indicators. The fifth and sixth approaches allow a rigorous interpretation in the framework of neoclassical equilibrium theory. The fourth approach takes an intermediate position, since spill‐over on segmented loan markets reveals a willingness to pay with regard to the supposedly less expensive but rationed primary source. The approaches are fairly data demanding in general, usually requiring specific data on loan transactions. Even so, most approaches are applicable to cross‐sectional household data. With the exception of the first, all methods surveyed might plausibly be used to empirically detect credit rationing. 相似文献
16.
Market power and competition policy in food supply chains has emerged as an important economic issue in economics, and a highly sensitive item on the policy agenda. Consolidation is taking place in the food industry, both in high‐income countries and in emerging economies, but the impact of concentration in global food chains on efficiency and rent distribution is more nuanced and complex than often claimed. We review the literature and extend it by developing a model which explicitly takes into account market imperfections and contract enforcement problems in supply chains. Increased competition benefits farms by improving contract conditions, but contract enforcement becomes more complicated. 相似文献
17.
Sangtaek Seo Eduardo Segarra Paul D. Mitchell David J. Leatham 《Agricultural Economics》2008,38(1):47-55
Water shortage has been a significant issue for several decades in the Texas High Plains. Agriculture has been identified as the main activity contributing to this shortage. To address this issue, many efforts have been focused on the possible adoption of sophisticated irrigation systems with high levels of water application efficiency. In this study, the entry and exit thresholds for the low‐energy precision application (LEPA) system are analyzed simultaneously in cotton farming in the Texas High Plains using a real options approach. The results show that the LEPA system is profitable only when cotton price is set above $1.59/kg. The exit (entry) threshold is consistently low (high) over a range of values for parameter changes including investment cost, exit cost, variable cost, risk‐adjusted discount rate, and volatility rate, so it is unlikely that farmers with irrigation systems in place would leave them easily. This implies that to attain the goal of saving water, Lubbock County needs to focus on convincing current farmers to replace old irrigation systems with new ones. 相似文献
18.
The effect of marketing quotas and price supports on technology adoption are examined for peanut production in the southeastern United States using a real options model of investment with output price and yield uncertainty. The optimal choice of peanut production technology (dryland versus irrigated) in the southeast is shown to depend on price supports and how they change. The manner in which price supports change will have an effect on the choice and rates of abandonment or adoption of production technologies. 相似文献
19.
The implementation of index‐based crop insurance is often impeded by the existence of systemic risk of insured losses. We assess the effectiveness of two strategies for coping with systemic risk: regional diversification and securitization with catastrophe (CAT) bonds. The analysis is conducted in an equilibrium pricing framework which allows the optimal price of the insurance and the number of traded contracts to be determined. We also explore the role of basis risk and risk aversion of market agents. The model is applied to a hypothetical area yield insurance for rice producers in northeast China. If yields in two regions are positively correlated, we find that enlarging the insured area leads to higher insurance premiums. Unless capital market investors are very risk averse, a CAT bond written on an area yield index outperforms regional diversification in terms of certainty equivalents of both farmers and insurers. 相似文献
20.
The European tomato market is characterized by a constant process of dynamic adjustment towards equilibrium. Furthermore, Canary Island tomato exports cause a high seasonal impact on market prices in the winter period. In these circumstances, an adequate distribution of weekly shipments throughout the year could contribute to maximize producers' profits. Moreover, Canary export levels show some degree of instability, clearly related to the changes in the EU trade rules and there is a long period, in the summer, without exports. The aim of this article is to analyze the long‐term movements and, particularly, the seasonal pattern of Canary Island tomato exports throughout the last two decades. To observe more clearly the exporter's decisions, weekly data have been used. The instabilities in the long‐term behavior of the series and the specific nature of the seasonal pattern should be taken into account, to capture the performance of exports accurately. Thus, this analysis is carried out using the structural approach to time series analysis, and the usefulness of spline functions as a tool capable of modeling seasonal variations for which the period does not remain the same over time is shown. 相似文献