Crop Insurance Under Catastrophic Risk

We develop a new insurance model that shows how catastrophic risk affects the nature and existence of a crop insurance market equilibrium. A reservation preference level is used to characterize long-run equilibrium when catastrophic risk makes insurance companies risk responsive. Catastrophic risk is shown to increase premiums, reduce farmer coverage levels and, under some conditions, lead to a complete breakdown of the crop insurance market. Reinsurance can help facilitate an equilibrium and/or increase participation, particularly if the reinsurance is subsidized. The analysis has important implications for the design and management of crop insurance and reinsurance programs.     

农产品价格上涨对生猪养殖户的影响研究

本研究对当前由生猪价格上涨引起的生猪养殖收益变动情况进行了探讨。在江西、湖南两省的调查发现 ,市场化程度高的规模生猪养殖户在这次生猪及饲料价格上涨中受到损害 ;而市场化程度较低的一般 (小规模 )生猪养殖户反而在这次生猪及饲料价格上涨中受益 ,但受益幅度较小。     

Price Risk Management for Peanut Meal

Abstract

Peanut meal is cross-hedged with soybean meal using peanut meal cash prices and soybean meal futures prices. Hedge ratios are obtained for a 3-year and a 6-year period model. The data is from 1993 to 2000, with the 2000 data used for evaluation. All hedge ratios are significant and the 3-year period model's results suggest that long term data sets have less explanatory power than short-term hedge ratios. Evaluation results indicate positive gains for cross-hedged poultry producers and/or peanut producers. The empirical analyses suggest that soybean meal futures can be used as a potential cross-hedging vehicle for peanut meal.     

The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk

This study analyzes the joint hedging decision of a Canadian firm in U S. based price and yield futures. The key results of this study are that jointly hedging price and yield can reduce more revenue risk than hedging only with price futures. For offshore hedgers, the evidence shows that foreign exchange risk is important and can be reduced by jointly hedging in the currency futures markets.
Nous analysons les décisions de couverture multiple d'une entreprise canadienne contre les risques afférents aux prix et aux rendement à terme. Les conclusions clés de l'étude sont qu'une couverture simultanée contre ces deux risques peut accorder une meilleure protection qu'une couverture établie seulement contre les risques des prix à terme. Pour ceux qui font affaire avec un pays étranger, l'expérience montre que le risque afférent au taux de change est important et qu'il est possible de le réduire en se couvrant en měme temps contre les risques affectant la valeur à terme de l'argent.     

Measuring Price Risk on UK Arable Farms

Price risk is estimated for a representative UK arable farm using value‐at‐risk (VaR). To determine the distribution of commodity returns, two multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models, with t‐distributed and normally distributed errors, and a RiskMetrics^TM model are estimated. Returns show excess kurtosis and that the GARCH model with t‐distributed errors fits best. Estimates of VaR differ between models: both GARCH models perform well but the RiskMetrics^TM model underestimates expected losses. UK arable farms face substantial price risk.     

粮食直接补贴不能代替价格支持——欧盟、美国的经验及中国的选择

欧盟((2000年议程》和美国1996年、2002年《农业法》，都导入了与价格不挂钩的农产品直接补贴政策，但是，它们并没有取消价格支持和市场稳定政策。借鉴国际经验以及考虑到我国小农生产和粮食市场发育不足的现实，在我国粮食政策调整中，不能简单地把保护价收购改成对农民的直接补贴，而应该构建一个由直接补贴(固定补贴)、价格支持(不固定补贴)和生产补贴等构成的完整的政策体系。     

Agricultural Producers and the Environment: A Stated Preference Analysis of Colorado Corn Producers

This paper analyzes Colorado corn producers’ preferences over both private‐ and environmental public‐good production system attributes, and tests the robustness of alternative data reconstruction and estimation techniques. Irrigated corn production practices are characterized by intensive water and chemical use, resulting in nonpoint source pollution to water bodies as well as soil erosion problems. Data from a stated preference survey are employed to analyze key attributes of experimentally configured irrigation systems, proposed as alternatives to current practices. Panel mixed logit estimations (and several alternative fixed parameter specifications) uncover consistently positive preferences for profit, risk reduction, and, importantly, systems with less environmental impact in terms of nitrate leaching and soil erosion. The analysis also finds evidence of preference heterogeneity and a complementary relationship between the two environmental attributes. Analysis of this kind can be used by policy makers to predict behavioral responses associated with introduction of new technologies, or to assess welfare implications of agricultural policy changes and stricter environmental regulations. Dans le présent article, nous avons analysé les préférences des producteurs de maïs du Colorado concernant les attributs des systèmes de production de biens environnementaux publics et privés et avons vérifié la robustesse des techniques de rechange pour la reconstruction et l’estimation des données. Les pratiques de production de maïs irrigué sont caractérisées par l’utilisation intensive d’eau et de produits chimiques qui entraîne une pollution diffuse des plans d’eau ainsi que des problèmes d’érosion du sol. Nous avons utilisé des données tirées d’un sondage sur les préférences déclarées pour analyser les principaux attributs des systèmes d’irrigation expérimentaux proposés comme solutions de rechange aux pratiques actuelles. Les estimations du modèle mixte logit (et plusieurs spécifications de paramètres fixes) ont permis de découvrir des préférences uniformément positives concernant les profits, la réduction des risques et les systèmes ayant moins d’impact environnemental du point de vue du lessivage des nitrates et de l’érosion du sol. L’analyse a également montré l’hétérogénéité des préférences et l’existence d’un lien complémentaire entre les deux attributs environnementaux. Les décideurs pourraient utiliser ce genre d’analyse pour prévoir les réactions comportementales liées à l’introduction de nouvelles technologies ou pour évaluer les répercussions des changements de politique agricole et des règlements environnementaux plus stricts sur le bien‐être.     

Martingale Restrictions and the Implied Market Price of Risk

The market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the linkage between equilibrium and arbitrage models of derivatives pricing. In this paper, the market price of risk is derived for options on live cattle futures contracts. It provides a technique to extract the implied market price of risk (iMPR), which is conceptually similar to that used in extracting implied volatilities. It is shown that the iMPR is not linear across strike prices as theory suggests it should.
Le prix de marché du risque est conceptuellement l'un des artéfacts les plus importants de la finance moderne puisqu'il établit le lien entre les modèles d'équilibre et les modèles d'évaluation par arbitrage de l'établissement des prix des dérivés. Dans le présent article, le prix de marché du risque est dérivé pour les options sur contrats à terme de bovins vivants. Il offre une technique pour extraire le prix de marché implicite du risque qui est conceptuellement similaire à celle utilisée pour extraire les volatilités implicites. Il est montré que le prix de marché implicite du risque n'est pas linéaire pour tous les prix de levée comme la théorie semble l'indiquer.     

Martingale Restrictions and the Implied Market Price of Risk

The market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the linkage between equilibrium and arbitrage models of derivatives pricing. In this paper, the market price of risk is derived for options on live cattle futures contracts. It provides a technique to extract the implied market price of risk (iMPR), which is conceptually similar to that used in extracting implied volatilities. It is shown that the iMPR is not linear across strike prices as theory suggests it should.
Le prix de marché du risque est conceptuellement l'un des artéfacts les plus importants de la finance moderne puisqu'il établit le lien entre les modèles d'équilibre et les modèles d'évaluation par arbitrage de l'établissement des prix des dérivés. Dans le présent article, le prix de marché du risque est dérivé pour les options sur contrats à terme de bovins vivants. Il offre une technique pour extraire le prix de marché implicite du risque qui est conceptuellement similaire à celle utilisée pour extraire les volatilités implicites. Il est montré que le prix de marché implicite du risque n'est pas linéaire pour tous les prix de levée comme la théorie semble l'indiquer.     

Crop Price and Risk Effects on Farm Abatement Costs

Potential leaching losses of nitrogen depend in large part on the crops grown. Since crop selection is a major means of abatement for nitrates in groundwater, it follows that the compliance costs to producers for reducing excess nitrogen is influenced by crop prices. This paper demonstrates the role that crop prices play in determining the level of on-farm abatement costs and even the necessity for regulatory policies to deal with the nitrate problem. Government support programs, specifically the Gross Revenue Insurance Program (GRIP), have increased the relative support for corn, which has higher leachate potential than other crops, and thereby requires increased abatement effort. The required level of abatement is less when risk aversion is considered than under risk neutrality, since the variability in returns among rotations is related to the degree of emissions generated. Changes in the mean and variance of relative output prices can significantly alter the optimal crop mix, leachate potential and on-farm abatement efforts. Subsequently, there is an effect on abatement costs associated with alternative environmental control instruments, which in turn affects policy design through issues such as political feasibility and equity considerations.     

Evaluating Farmers' Choice Processes in the Laboratory: Workshops with Flower Producers

This study describes the result of a research workshop on cultivar choice in which 26 specialized flower producers participated. The workshop consisted of several tasks aimed at measuring the individual quality level of the decision process (cultivar choice). The technique of the information display matrix (IDM) was introduced as a means to simulate the choice processes. The results of this study indicated that the performance in the IDM-simulation had some predictive power for the performance in real life, especially on turnover and yield. Further analysis of the tasks in this workshop could be used to detect weak spots in the individual decision making. The differences among growers with respect to their level of consciousness/awareness, (economic) rationality, and consistency were substantial.     

农产品契约交易中价格风险的转移与分担

本研究认为,交易双方的机会主义行为会使农产品契约交易中的价格风险在交易双方间转移,一方获得风险收益,另一方承受风险损失,风险分担的不公平导致企业与农户之间的利益矛盾。合约中价格条款的合理设计有助于实现风险共担,并可对风险转移现象加以抑制。     

Developing Hedging Strategies for Québec Hog Producers under Revenue Insurance

The paper investigates the optimal hedging strategies of Québec hog producers when they participate in a publicly funded revenue insurance program known as ASRA (Régime d'assurance-stabilisation des revenus agricoles). A forecast model of local cash and futures prices is built and Monte Carlo methods are used to derive the optimal futures and option positions of Québec hog producers. The positive correlation between forecasts of futures and cash spot prices induces positive sales of futures and put options to hedge price risk. ASRA provides put options to hog producers at actuarially advantageous terms. Producers can increase the expected utility of profits by selling back a portion of these put options using financial markets. Options are attractive to manage price risk given the nonlinearity in the profit function induced by the revenue insurance scheme. Speculative incentives to use futures and options are also discussed in the context of ASRA.     

The Effectiveness of Alternative Marketing Strategies for Ontario Corn and Soybean Producers

Marketing decisions can be some of the most difficult decisions facing grain and oilseed producers. There is a lack of information about the marketing strategies that are most effective, and there is also a lack of consensus in the literature about whether some types of marketing strategies can consistently perform better than others. This paper uses a simulation model based on daily cash and futures prices to compare returns and risk over time from specific marketing strategies for corn and soybean producers in Ontario. This paper also examines whether there are differences in the relative effectiveness of strategies between higher‐price years and lower‐price years. The results indicate that preharvest marketing strategies for both corn and soybeans tend to generate prices that are much higher than selling everything at harvest (the baseline strategy), particularly for the higher‐price years; however, these differences are not always statistically significant. Preharvest strategies are also found to reduce downside risk relative to the baseline. Les décisions commerciales peuvent représenter certaines des décisions les plus difficiles auxquelles les producteurs de céréales et d’oléagineux sont confrontés. Il existe un manque d’information sur les stratégies commerciales les plus efficaces et un manque de consensus dans la littérature quant à l’existence ou non de stratégies commerciales capables de donner régulièrement de meilleurs résultats que d’autres. Dans le présent article, nous avons utilisé un modèle de simulation fondé sur les prix au comptant et les prix à terme quotidiens afin de comparer, au fil du temps, les rendements et les risques des stratégies commerciales qui sont spécifiques aux producteurs de maïs et de soja de l’Ontario. Nous avons aussi tenté de déterminer s’il existe ou non des écarts d’efficacité relative des stratégies entre les années où les prix sont élevés et les années où les prix sont faibles. Nos résultats indiquent que, dans le cas du maïs et du soja, la stratégie commerciale qui consiste à vendre la production avant la récolte tend à dégager des prix plus élevés que la stratégie commerciale qui consiste à vendre toute la production au moment de la récolte (stratégie de base), particulièrement dans le cas des années où les prix sont élevés. Cependant, ces écarts ne sont pas toujours statistiquement significatifs. Les stratégies de vente avant récolte contribueraient également à réduire le risque de perte en cas de baisse comparativement à la stratégie de base.     

Value‐Chains in the Andes: Upgrading for Ecuador's Blackberry Producers

We apply a value chain approach to examine how blackberry producers in Ecuador can improve production and marketing practices to obtain more favorable prices. Results show that general upgrading actions are associated with improved producer prices, and specific activities, such as seeking information from reputable sources can lead to substantial welfare improvements. The paper goes beyond most value chain studies which treat participation in a ‘modern’ value chain as a discrete state. Ecuador's blackberry industry is evolving incrementally with no clearly discernible ‘modern’ market chains. Instead, producers incrementally make improvements in multiple dimensions. Relatively low‐cost practices, many of which do not imply substantial risk or investment, are associated with price improvements. Obstacles to participation in incremental value chain upgrading activities are not insurmountable. In particular, scale of production is not a limiting factor: small‐scale producers are not precluded from adopting improved practices and they do not suffer in terms of price received.     

Price-Predicting Ability of Farm Managers: Empirical Findings with Flower Producers in the Netherlands

Differences in income among horticultural growers producing under similar conditions are known to be substantial. Production policy, including cultivar choice, plays an important role. Both price variation over time and price differences among cultivars provide valuable management information to growers to adapt their production policy. This study focuses on price-predicting skills of specialized chrysanthemum growers. The study, based on a survey among 26 participants, shows that growers who predict absolute prices well for one period do not have a higher chance of predicting well for other periods. With respect to predicting relative price positions (relative to other cultivars or other firms), evidence is found, however, that this is a skill, especially for estimating the relative market position. Also, evidence is provided that price differences among cultivars are nonrandom in time, and it is concluded that growers could adapt their production planning and cultivar choice to benefit from expected price variations.     

Aggregation of Price Risk over Commodities: An Economic Index Number Approach

This article extends the economic theory of index numbers to the aggregation of price risk over commodities in production. Superlative indexes of aggregate price risk are related to Tornqvist and Fisher−type output quantity indexes. An application to major crops in Manitoba illustrates the empirical importance of the analysis.     

A Simple Duality Model of Production Incorporatin Risk Aversion and Price Uncertainty

Proceeding within the framework of a linear mean-variance utility function, this paper outlines a duality model of production that incorporates risk aversion and price uncertainty. In contrast to risk models based on an expected utility function, this model provides a practical alternative to standard duality models for econometric research.