날씨파생상품을 이용한 경북지역 사과농가경영안정 효과 분석
Analysis of Farm Management Stabilization Effects Using Weather Derivatives for Apple Farmers in Kyeongpuk District
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This study analyzes weather derivatives as an alternative risk management tool to stabilize farm revenue to complement the existing crop insurance program which suffers from asymmetric information problems such as adverse selection, moral hazard, and verifiability. We estimated apple yield functions to observe the relationship between yields and weather indices such as temperature and precipitation. Based on the estimated yield functions we designed weather futures and options products underlying temperature and precipitation, and calculated the prices of futures and options by two different approaches, historical distribution and Monte Carlo simulation. We found that weather futures and options stabilize farm revenue based on the estimated four risk indicators: Coefficient of Variation, Value at Risk, Certainty Equivalence, and Risk Premium. As a result, weather derivatives could be considered as a potential farm risk management tool through studying more in legal and institutional strategies and developing various derivatives products.
Abstract
This study analyzes weather derivatives as an alternative risk management tool to stabilize farm revenue to complement the existing crop insurance program which suffers from asymmetric information problems such as adverse selection, moral hazard, and verifiability. We estimated apple yield functions to observe the relationship between yields and weather indices such as temperature and precipitation. Based on the estimated yield functions we designed weather futures and options products underlying temperature and precipitation, and calculated the prices of futures and options by two different approaches, historical distribution and Monte Carlo simulation. We found that weather futures and options stabilize farm revenue based on the estimated four risk indicators: Coefficient of Variation, Value at Risk, Certainty Equivalence, and Risk Premium. As a result, weather derivatives could be considered as a potential farm risk management tool through studying more in legal and institutional strategies and developing various derivatives products.
참고문헌 (9)
- Cao, M, "Weather Derivatives: A New Class of Financial Instruments" (2003)
- 정원호, "REDUCING THE SOCIAL COST OF FEDERAL CROP INSURANCE: A ROLE FOR US GOVERNMENT HEDGING WITH WEATHER DERIVATIVES", 농촌경제, 36(2), pp.137~162 (2013), 한국농촌경제연구원[DOI]
- Study on Introducing Weather Insurance Related with Climate Change, "Ecopi Corp", Ministry of Environment, ~ (2018)
- Impacts of Climate Change on the Agricultural Sector in Korea, "Kim, C. G", Korea Rural Economic Institute, ~, pp.R.565 (2008)
- Moon, S. J, "Weather Derivative Index: Development and Application", The Korean Finance Association 2012 Joint Conference on Research and Publication of 5 Academic Societies, pp.493~543 (2012)
- National Institute of Meteorological Research, "Climate change over 100 years on the Korean Peninsula" (2018)
- Richards, T, "Pricing Weather Derivatives", American Journal of Agricultural Economics, 86(4), pp.1005~1017 (2004)
- Rural Development Administration, "Work Schedule List", ~
- 윤원철, "강수량 파생상품을 활용한 헤징효과 분석", 에너지경제연구, 15(2), pp.1~22 (2016), 재단법인 에너지경제연구원[DOI]