论我国契约农业面临的主要风险及解决方式

契约农业是实现农业产业化和现代化的必由之路.目前高违约率已成为我国契约农业面临的主要风险,公司和农户都普遍存在违约现象.本文运用博弈论来说明期货服务契约农业的必要性,并通过分析得出使用期货促进契约农业的发展较其他方法更具有优越性的结论,并探索了在我国具有可操作性的三种融入期货做为避险工具的契约农业类型.     

“公司＋农户”模式的违约风险分析及解决方案

＂公司＋农户＂模式是农业产业化发展的基本形式之一,也是现实中应用较为广泛的组织模式。这种组织模式的运营不仅有利于降低交易费用、分散经营风险,而且有利于提高交易双方资产的协同效应,实现交易的双赢。但在现实实践中,契约履行中机会主义的存在,违约率高的问题影响了这种模式作用的发挥。文章利用博弈模型,分析了不同市场行情下＂公司＋农户＂模式风险产生的原因,并针对于其原因提出了解决方案,即提高违约金及设计在长期重复博弈模式下的＂严酷战略＂的方法在对公司及农户产生约束,降低违约风险。     

现代订单农业中的远期定价及风险管理模式探析

远期定价是订单农业的核心内容。基于当前国内农业经济领域未能完全了解相关定价机制的现实情况,本文将运用发达国家订单农业广泛使用的多种远期定价方法,分析不同方法的风险处理机制及其优缺点,为企业、农户和政府决策提供参考,以降低农业决策风险和订单合同违约率。     

贸易信贷可以提高商品契约的稳定性吗？——一个订单农业中存在信息不对称的委托-代理模型

订单农业作为农业产业化的重要手段一直备受推崇，但是由于信息不对称造成契约关系并不稳定，违约率极高。实践表明，在订单交易的基础上附加贸易信贷可以大大降低农户的道德风险，从而提高契约的稳定性。本文通过构建委托一代理模型分析农户的决策行为，证明企业在订单农业的基础上为订单农户提供贸易信贷、扩大农户产量，可以有效缓解“逆向选择”和“道德风险”的问题，提高商品契约的稳定性。     

商品契约中农户违约行为研究的文献综述

商品契约制是目前我国农业产业化经营中农户与中介组织最主要的联结方式,但农户的违约行为严重影响到这种合作模式的发展,如此高的违约率严重影响着我国农业产业化、市场化的进程。因此,对农户违约行为的研究对促进该种模式向纵深发展具有重要意义。     

“合同订单”为何没有成为农户与龙头企业(公司)的“定心丸”

违约屡屡发生已成为定单农业发展过程中的一个突出问题。诱导合同违约现象发生的根本原因在于现有订单农业的内在机制安排 ,无法使农户与企业之间真正能做到既利益共享 ,又风险共担 ,同时欠佳的外部环境又给了其滋生的土壤。因此要使订单农业健康发展 ,合同订单真正成为农户与企业的“定心丸” ,既要以内在机制进行改善与创新 ,又要为其发展提供良好的外部环境。而期权理论中的卖权机制 ,则不失为是一种实现农户与企业双赢的最佳方案     

合同农业产生的交易成本经济学机理

以产业化方式经营农业已成为现代农业的重要特征。在"公司+农户"的产业化组织模式中,通过合同建立交易关系是普遍的组织形式。基于交易成本经济学的理论逻辑分析表明:受农业特性以及农产品市场结构转变的影响,随着组织形式向科层或市场集中,组织成本曲线将出现非线性的增长趋势。采用合同交易方式是公司、农户在既定的约束条件下,对交易成本和管理成本进行权衡的选择结果,由此获得相对于企业与市场的组织优势。但在实践中,契约合作型"公司+农户"的组织形式所蕴涵的优势并非完全无条件地展示,组织优势的发挥依赖于好的治理机制。     

农业产业化经营对农产品价格的影响

农业产业化经营是建立在家庭联产承包制基础上的一种新的农业经营制度安排,它以公司、合作社、协会等作为组织载体,将分散的农户组织起来,根据当地的资源优势、市场需求,进行分工分业,从事专业化生产,提供农业产前、产中和产后的专门化服务,使农业生产产业链延长,产供销连接,形成完整的产业系统,并借助合同契约、保护价格和按股份分红等制度,使系统内的各部分形成"风险共担,利益共享"的有机统一体.     

社会制裁和社会关系对小额贷款偿还率的影响——基于对湖北省恩施土家苗族自治州的调研数据

利用社会资本将金融资本渗透到贫困群体并通过社会资本保证高的还款率被认为是格莱珉银行模式最成功的经验,业已成为广泛共识。但对于社会资本的不同维度,如社会制裁和社会关系具体如何影响贷款偿还率则还存在争议。金融资本缺乏仍然是我国广大农户贫困的重要成因,但在缺乏抵押和担保导致违约风险大的假设下,贫困农户仍然被金融机构认为是"不可银行化"的对象。因此,如何确保高的贷款偿还率是金融机构将贫困群体纳入服务范畴的重要前提。文章试图围绕社会制裁和社会关系两个维度对贷款还款率的影响,并结合在湖北省恩施土家苗族自治州收集到的数据展开论述,以期通过完善贷款偿还机制来提高贷款偿还率,激发金融机构向贫困农户贷款的积极性,最终帮助贫困群体摆脱贫困。     

“公司+农户”的交易效率与契约选择

运用交易费用经济学、博弈论的基本原理,以"公司+农户"这一组织形式中的契约关系为研究对象,根据抵押品模型,构建了一个"公司+农户"契约选择模型,来讨论"公司+农户"经营组织不同契约类型选择及其效率,并提出改进思路及政策含义。     

Equilibrium with Default and Endogenous Collateral

We study a two‐period general equilibrium model with incomplete asset markets and default. We make collateral endogenous by allowing each seller of assets to fix the level of collateral. Sellers are required to provide collateral whose first‐period value, per unit of asset, exceeds the asset price by an arbitrarily small amount. Moreover, borrowers are also required to be fully covered by the purchase, in the first period, of state‐by‐state default insurance. These insurance contracts are offered by lenders. The insurance cost or revenue is a linear charge and plays the role of a spread penalizing borrowers who will incur in default and benefiting lenders who will suffer default. Under these assumptions, equilibrium always exists.     

DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1

This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.     

Aiding Decision Making to Reduce the Impacts of Climate Change

Utilizing theory and empirical insights from psychology and behavioural economics, this paper examines individuals’ cognitive and motivational barriers to adopting climate change adaptation and mitigation measures that increase consumer welfare. We explore various strategies that take into account the simplified decision-making processes used by individuals and resulting biases. We make these points by working through two examples: (1) investments in energy efficiency products and new technology and (2) adaptation measures to reduce property damage from future floods and hurricanes. In both cases there is a reluctance to undertake these measures due to high and certain upfront costs, delayed and probabilistic benefits, and behavioural biases related to this asymmetry. The use of choice architecture through framing and the use of default options coupled with short-term incentives and long-term contracts can encourage greater investment in these measures.     

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where collateral is included with possible rehypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e., the difference between the on‐default exposure and the predefault collateral account. We then specialize our analysis to credit default swaps (CDS) as underlying portfolios, and construct a numerical scheme to evaluate the adjustment under a doubly stochastic default framework. In particular, we show that for CDS contracts a perfect collateralization cannot be achieved, even under continuous collateralization, if the reference entity’s and counterparty’s default times are dependent. The impact of rehypothecation, collateral margining frequency, and default correlation‐induced contagion is illustrated with numerical examples.     

Inflation and Default Dynamics

Changes in inflation, particularly if they are sharp, can have important consequences for nominal contracts, especially debt instruments such as fixed-rate bonds. This paper examines the intricate dynamics of inflation and defaults. The experience of the United States during the past four decades is subjected to empirical analysis to examine how the nature of the relationship changed as we shifted from a high inflation to a low inflation regime. The paper is organized as a three-part study. We initially examine the U.S. default experience, as summarized in Moody's speculative grade default rate, along with industry differences. The paper then scrutinizes U.S. inflation dynamics as seen in different summary measures of the general price level and delves into pricing power issues. The study proceeds to examine co-movements in the inflation and default series from a theoretical and empirical standpoint and the results confirm the intuitive postulate: higher the inflation rate, the more pricing power companies have; greater pricing power leads to, better earnings and repayment abilities for firms and a lower incidence of defaults.     

Is the Small Firms Loan Guarantee Scheme Hazardous for Banks or Helpful to Small Business?

Loan guarantee schemes are an integral part of SME policy in both developed and developing countries. Yet little has been done to evaluate such programmes, particularly in terms of their ability to correct for capital market imperfections. This paper uses individual loan data from some 42,000 UK SFLGS backed debt contracts to empirically test the default specification outlined in the seminal credit rationing paper of Stiglitz and Weiss (1981). The results show that default (failure) does increase with the banks cost of capital, but not with the government premium. In addition, default appears to be determined by a whole host of other factors not typically considered in the credit rationing literature.     

Infrastructure,returns to scale and sovereign debt

This paper explores the nexus between the issue of sovereign debt and investment in infrastructure, emphasizing the case of economies of scale. The focus is on debt contracts that are incentive compatible. It is shown that public and private financial institutions may need to lend amounts above some threshold to force the borrowing sovereign to take full advantage of any economies of scale that may be present. Low levels of lending may or may not result in default. Sufficiently high amounts of lending may be needed to ensure repayment and may prove to be mutually beneficial.     

ON SURRENDER AND DEFAULT RISKS

This paper examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors are endowed with an option to surrender. The goal of the paper is to study how this option impacts the default risk of the issuing company and the value of the contracts it issues. Surrender risk has been extensively studied in arbitrated markets, using trees or least‐squares Monte Carlo methods for valuations, although practitioners often rely on econometric methods. We deal with surrender risk in a third way, assuming policyholders have sets of information and preferences that differ from those of financial market agents, but without relying on econometric methods. In particular, policyholders are supposed to be only partially rational (at least in the financial sense). This is done by modeling surrender risk through a Cox process correlated to the assets and interest rate dynamics. The paper provides formulas for the dynamics of the assets of the issuing firm (these dynamics drive the default time of the company), and for the valuation of liabilities and equity. A numerical illustration is provided.     

Financial integration and international risk sharing

Conventional wisdom suggests that financial liberalization can help countries insure against idiosyncratic risk. There is little evidence, however, that countries have increased risk sharing despite widespread financial liberalization. We show that the key to understanding this puzzling observation is that conventional wisdom assumes frictionless international financial markets, while actual markets are far from frictionless: financial contracts are incomplete and contract enforceability is limited. When countries remove official capital controls, default risk is still present as an implicit barrier to capital flows. If default risk were eliminated, capital flows would be six times greater, and international risk sharing would increase substantially.     

The composition of international capital flows: risk sharing through foreign direct investment

Evidence on international capital flows suggests that foreign direct investment (FDI) is less volatile than other financial flows. To explain this finding I model international capital flows under the assumptions of imperfect enforcement of financial contracts and inalienability of FDI. Imperfect enforcement of contracts leads to endogenous financing constraints and the pricing of default risk. Inalienability implies that it is not as advantageous to expropriate FDI relative to other flows. These features combine to give a risk sharing advantage to FDI over other capital flows. This risk sharing advantage of FDI translates into a lower default premium and lower sensitivity to changes in a country’s financing constraint.The model offers the new implication that financially constrained countries should borrow relatively more through FDI. This is because FDI is harder to expropriate and not because FDI is more productive or less volatile. Using several creditworthiness and country risk ratings to measure financing constraints, I present new evidence linking FDI and financing constraints. Moreover, numerical simulations of the model generate stronger serial correlation for FDI than for other flows into developing countries. This corroborates the view that non-FDI flows are more short-term and more likely to change direction.