This paper explores the factors that impact insurance choices. Specially designed survey questions allow one to fully observe the demand tendency by the farmers and partially observe the supply tendency by the insurance company. A joint estimation of insurance decision by both supply and demand...

According to the Taiwan Council of Agriculture, frost was responsible for approximately 30 percent of aquaculture losses in Taiwan during the period 1999-2008. Farmed milkfish, the most important aquaculture crop in Taiwan, is particularly sensitive to temperature variations, and can experience...

Sowohl Ernteversicherungen als auch „Wetterderivate“ sind neuartigeRisikomanagementinstrumente, die eine Absicherung gegen Schäden aus nichtkatastrophalenWetterereignissen ermöglichen, in Deutschland aber bisher nicht verbreitet sind. Imvorliegenden Beitrag wird mit Hilfe eines...

This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the...

This study examines the systematic risk present in major crops for the United States andthree corn-belt states. An index of commodities is used in conjunction with cash receiptsto generate dynamic estimates of the systematic risk for each crop and state. In our study,we find that beta estimates...

Taken together, studies that examine how well commodity futures marketsperform find that risk premiums are common—and so unbiasedness is not—and marketsare not uniformly efficient across commodities or forecast horizons. This large body ofresearch sheds important light on whether and to what...

Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

The major finding is that liquidity costs in futures options market are two to three times higher thanliquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosingbetween hedging with a futures contract or with an option contract. While there is...