Hedging crop risk with yield insurance futures and options
研究了风险规避的农户如何利用产量保险期货和期权来最优对冲作物风险，基于法国小麦生产者数据发现这些新工具比个体产量合同更能降低农场产量波动。
This paper analyses the optimal hedging decisions for risk-averse producers facing crop risk, assuming crop yield insurance futures and options are available. The first-best optimal hedge requires either a futures position or an option position proportional to the regression coefficient of individual yield on aggregate yield depending on whether the financial markets are unbiased or biased. Using yield data for a sample of wheat producers in France, the producers' hedge ratios are derived. The individual crop risk is shown usually to contain a large systemic component. These new hedging instruments are usually more effective to reduce farm yield variability than individual yield contracts. Copyright 2000, Oxford University Press.