This paper explores the extent of consumption smoothing between 1981 and 1985 in rural Burkina Faso. In particular, we examine the extent to which livestock, grain storage and interhousehold transfers are used to smooth consumption against income risk. The survey coincided with a period of...

In California, the tremendous spatial and temporal variation in precipitation suggests that flexible contractual arrangements, such as option contracts, would increase allocative efficiency of water over time and space. Under such arrangements, a water agency pays an option premium for the right...

This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic market are still considerablylower after eliminating...

This study examines the actuarial implications of the loss cost ratio (LCR) ratemakingmethodology employed by the Risk Management Agency as a component of base ratesfor U.S. crop insurance programs, and identifies specific conditions required for the LCRmethodology to result in unbiased rates...

Regarding the nature of yield data, there are two basic characteristics that needs to be accommodated while we are about to model a yield distribution. The first one is the nonstationary nature of the yield distribution, which causes the heteroscedasticity related problems. The second one is the...

The Dungeness is a popular food and the most commercially important crab in the western states in the U.S. Like all agricultural production, the crab fisherman face yield risks and must manage these risks. In addition to weather risk, crab fisherman may experience low yields if the crabs are...

In the US forestry industry, wildfire has always been one of the leading causes of damage. This topic is of growing interest as wildfire has caused huge losses for landowners, residents and governments in recent years. While individual wildfire behavior is well studied (e.g. Butry 2009; Holmes...

This paper discusses the volatility spillover effects in agricultural commodity markets, via studying implied volatilities derived from nearby options contracts. Using weekly averaged data from corn and soybean markets after 2003, a vector autoregressive (VAR) model is estimated, and impulse...

Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more...

This paper is based on an ongoing joint work with David Sahn and Xiaobo Zhang.