SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Lissitsa, Alexej; Odening, Martin.

Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten

Palavras-chave: Productivity Analysis.

Ano: 2001

URL: http://purl.umn.edu/7391

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is proposed to analyse the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are located remotely from the weather station. Another finding is that significant differences...

ZUR QUANTIFIZIERUNG DES BASISRISIKOS VON WETTERDERIVATEN

Palavras-chave: Weather risk; Weather derivatives; Precipitation model; Basis risk; Resource /Energy Economics and Policy; Risk and Uncertainty.

Ano: 2005

URL: http://purl.umn.edu/18822

Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes getreideproduzierenden Betriebes in Brandenburg unter Verwendung von realen Ertrags- und Wetterdaten mit Hilfe einer stochastischen Simulation die risikomindernde Wirkung quan-tifiziert, die durch den Einsatz von Niederschlagsoptionen erzielt werden kann. Dabei wird die Hedging-Effektivität durch das Kontraktdesign (Index, Strike-Preis, Tick-Size) gesteuert. Das Basisrisiko der Produktion und das geografische Basisrisiko verbleiben jedoch in jedem Fall beim Landwirt. Ziel ist es,...

Modeling and Pricing Rain Risk

Palavras-chave: Risk and Uncertainty.

Ano: 2006

URL: http://purl.umn.edu/14947

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences may...

10 years of transition in Ukraine agriculture: An analysis of productivity and efficiency of enterprises

Palavras-chave: Weather risk; Weather derivatives; Precipitation model; Basis risk; Resource /Energy Economics and Policy; Risk and Uncertainty; C8; Q14; Q54.

Ano: 2006

URL: http://purl.umn.edu/25386

Lissitsa, Alexej; Odening, Martin; Babycheva, Tamara.

This paper analyzes efficiency and total factor productivity (TFP) change of large agricultural enterprises during their transition to a market economy in Ukraine. In this case the efficiency is calculated by data envelopment analysis and the productivity change is measured by the Malmquist Productivity Change Index in the period between 1990 and 1999. On average, TFP declined by 6% annually, dropping a total 42%. The main reason for the observed TFP decline is a decrease in technical efficiency, which is found to be remarkably significant. At the same time there is a high variation among individual enterprises: their distribution of efficiency scores widens, which indicates that the farms diverge with respect to their economic performance. The Tobit...

Closing down the Farm: An Experimental Analysis of Disinvestment Timing

Palavras-chave: Эффективность; Общая продуктивность фактора; Анализ оболочки данных; Малмквист-индекс изменения общей продуктивности фактора; Переходный период; Украина; Effizienz; Totale Faktor Produktivität; Data Envelopment Analysis; Malmquist Productivity Change Index; Transition; Ukraine; Efficiency; Total Factor Productivity; Agribusiness; Community/Rural/Urban Development; Farm Management; Industrial Organization; Productivity Analysis; Q12; D25; O1; O4; P3.

Ano: 2003

URL: http://purl.umn.edu/92168

Maart, Syster Christin; Musshoff, Oliver; Odening, Martin; Schade, Christian.

Agrarian structures are often characterized by some kind of economic inertia. It is particularly puzzling why unprofitable farms persist over time instead of being sold. In this paper we analyze the exit decision of farmers using the real options approach. The validity of the real options theory is assessed by means of laboratory experiments. Our results show that real options models are able to predict actual disinvestment decisions better than traditional investment theory. Nevertheless, the observed disinvestment reluctance was even more pronounced as predicted by theory. This finding suggests the inclusion of bounded rationality into normative disinvestment models.

Empirische Validierung von Realoptionsmodellen

Palavras-chave: Disinvestment; Real Options; Experimental Economics; Agricultural Finance; Farm Management; C91; D81; D92.

Ano: 2011

URL: http://purl.umn.edu/114375

Odening, Martin; Musshoff, Oliver; Huettel, Silke.

Coping with Systemic Risk in Index-based Crop Insurance

Palavras-chave: Research Methods/ Statistical Methods.

Ano: 2003

URL: http://purl.umn.edu/18825

Shen, Zhiwei; Odening, Martin.

The implementation of index-based crop insurance is often impeded by the existence of systemic risk of insured losses. We assess the effectiveness of two strategies for coping with systemic risk: regional diversification and securitization with catastrophe (CAT) bonds. The analysis is conducted in an equilibrium pricing framework which allows the optimal price of the insurance and the number of traded contracts to be determined. We also explore the role of basis risk and risk aversion of market agents. The model is applied to a hypothetical area yield insurance for rice producers in northeast China. If yields in two regions are positively correlated, we find that enlarging the insured area leads to an increasing insurance premium. Unless capital market...

Tipo: Presentation

Palavras-chave: Crop insurance; Systemic risk; Risk pooling; Securitization; Risk and Uncertainty; Q11; Q14.

Ano: 2012

URL: http://purl.umn.edu/122555

Indifference Pricing of Weather Insurance

Xu, Wei; Odening, Martin; Musshoff, Oliver.

This article develops an Indifference Pricing model for a weather derivative that is traded over the counter. The model is used to calculate ask and bid prices for a put option on a weather index in Germany. We find that under moderate risk aversion the maximal bid prices of grain producers exceed the minimal sell prices of insurers only for a few regions and crops, due to the presence of basis risk. Another finding is that the actuarially fair price may lead to wrong conclusions about the market potential of weather insurance.

Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach

Palavras-chave: Weather insurance; Indifference pricing model; Basis risk; Risk and Uncertainty.

Ano: 2007

URL: http://purl.umn.edu/9267

Liu, Xiaoliang; Filler, Gunther; Odening, Martin.

The sharp increase in agricultural commodity prices in 2008 and in 2011 has triggered an intensive debate on the causes for these price booms. Speculative bubbles have been quoted as one factor among others for the price peaks. Against this background, our paper contributes to this discussion by implementing a novel test procedure for speculative bubbles which has been suggested in the stock market literature. We use a regime switching regression model to test the hypothesis that agricultural prices are driven by periodically collapsing bubbles. The analysis is conducted for wheat, which is one of the most important crops worldwide. Our results show that the data do not support this particular bubbles hypothesis.

Tipo: Presentation

Palavras-chave: Agricultural commodity market; Net convenience yield; Speculative bubbles; Regime switching; Fundamental values.; Risk and Uncertainty; C12; Q13; Q14.

Ano: 2012

URL: http://purl.umn.edu/122554

Investment Reluctance: Irreversibility or Imperfect Capital Markets? Evidence from German Farm Panel Data

Huettel, Silke; Musshoff, Oliver; Odening, Martin.

Investment behavior at the firm level is characterized by lumpy adjustments and frequent periods of inactivity. Low investment rates are particularly puzzling in transition economies where an urgent need of modernization exists. The literature offers two explanations for. Firstly, neo-institutional finance theory focuses on the impacts of imperfect capital markets on investment decisions showing that the limited availability of financial funds may confine firms investments. Secondly, real options theory asserts that the interaction of irreversibility, uncertainty and flexibility may also result in investment reluctance. In this paper we suggest a generalized model that combines imperfect capital markets and real options effects. We also offer an...

Reale Optionen und Landwirtschaftliche Betriebslehre – oder: Kann man mit der Optionspreistheorie arbitrieren?

Palavras-chave: Investment decision; Irreversibility; Uncertainty; Q-model; Capital market imperfections; Generalized tobit model; Transition; Financial Economics; D81; D92; O12.

Ano: 2007

URL: http://purl.umn.edu/9826

Odening, Martin; Musshoff, Oliver.

This paper discusses the real options approach to investment. Real options facilitate an analysis of investment under uncertainty explicitly taking into account irreversibility of the investment decision and flexibility with respect to the investment timing. This is achieved by exploiting the analogy between a financial option and an investment project. We pinpoint the relation to traditional methods of capital budgeting as well as the special features of this concept, namely the exclusion of arbitrage opportunities and the independence of individual risk preferences. Analytical and numerical solution procedures for option pricing are presented. An application to investments in hog finishing illustrates the main ideas of the real options approach. It turns...

Tipo: Journal Article

Palavras-chave: Real options; Investment under uncertainty; Flexibility; Contingent claim analysis; Hysteresis; Hog finishing; Farm Management; Risk and Uncertainty.

Ano: 2001

URL: http://purl.umn.edu/99004

Modeling and Hedging Rain Risk

In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences...

On the Systemic Nature of Weather Risk

Palavras-chave: Risk and Uncertainty.

Ano: 2006

URL: http://purl.umn.edu/21050

Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap.

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results indicate that indemnity payments based on temperature as well as on cumulative rainfall show strong stochastic dependence even at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is limited. Irrespective of...

Optimal Design of Weather Bonds

Palavras-chave: Weather risk; Crop insurance; Copula; Risk and Uncertainty; C14; Q19.

Ano: 2009

URL: http://purl.umn.edu/49131

Xu, Wei; Odening, Martin; Musshoff, Oliver.

Replaced with revised version of paper 06/17/08.

ZUM DESINVESTITIONSVERHALTEN LANDWIRTSCHAFTLICHER UNTERNEHMER: ERGEBNISSE EINER EXPERIMENTELLEN UNTERSUCHUNG

Palavras-chave: Weather risk; Weather bonds; Reinsurance; Securitisation; Agricultural Finance; Risk and Uncertainty.

Ano: 2008

URL: http://purl.umn.edu/6781

Maart, Syster Christin; Musshoff, Oliver; Odening, Martin; Schade, Christian.

B1_3

How Costly are (Agricultural) Investments during Economic Transition? A Critical Literature Appraisal

Palavras-chave: Desinvestition; Realoptionsansatz; Experimentelle Ökonomik; Agricultural Finance; Farm Management; Financial Economics; Research Methods/ Statistical Methods.

Ano: 2010

URL: http://purl.umn.edu/93943

Zinych, Nataliya; Odening, Martin.

Investment theory

Holding on for too long? An experimental study on inertia in entrepreneurs’ and non-entrepreneurs’ disinvestment choices

Palavras-chave: Investment; Transition; Credit constraints; Soft budget constraints; Agricultural Finance; Financial Economics; O16; Q14; P23.

Ano: 2009

URL: http://purl.umn.edu/50319

Sandri, Serena; Schade, Christian; Musshoff, Oliver; Odening, Martin.

Disinvestment, in the sense of project termination and liquidation of assets including the cession of a venture, is an important realm of entrepreneurial decision-making. This study presents the results of an experimental investigation modeling the choice to disinvest as a dynamic problem of optimal stopping in which the patterns of decisions are analyzed with entrepreneurs and non-entrepreneurs. Our experimental results reject the standard net present value approach as an account of observed behavior. Instead, most individuals seem to understand the value of waiting. Their choices are weakly related to the disinvestment triggers derived from a formal optimal stopping benchmark consistent with real options reasoning. We also observe a pronounced...

Markteffekte medienwirksamer Lebensmittelskandale: Eine Ereignisstudie

Palavras-chave: Real-Options; Disinvestment; Exit Behavior; Experimental Economics; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Institutional and Behavioral Economics.

Ano: 2010

URL: http://purl.umn.edu/59518

Rommel, Jens; Neuenfeldt, Sebastian; Odening, Martin.

Das Vertrauen der Konsumenten in gesunde Nahrungsmittel wird regelmäßig durch Lebensmittelskandale erschüttert. Im Zusammenhang mit der Diskussion von Maßnahmen, die seitens der Produzenten und/oder des Staates ergriffen werden, um Nahrungsmittelsicherheit zu gewährleisten, stellt sich die Frage, wie der Markt, genauer gesagt: die Verbraucher, auf das Bekanntwerden von Lebensmittelskandalen reagieren. In dem Beitrag wird der Frage nachgegangen, ob und wie sich Lebensmittelskandale, die eine mediale Verbreitung gefunden haben, auf Preise und Verbrauchsmengen ausgewählter tierischer Agrarerzeugnisse auswirken. Als methodischer Ansatz werden Ereignisstudien gewählt, die eine einfache Möglichkeit bieten, die Marktwirkungen sachlich und zeitlich klar...