Weather swap as an instrument for weather risk management in wheat production
Vremenski svop kao instrument za upravljanje vremenskim rizicima u proizvodnji pšenice
Abstract
A special type of weather derivatives are weather forwards and they exists mostly in the form of weather swaps. Hedging effectiveness in wheat production with and without weather swap was analyzed in this paper using stochastic dominance. The results show that the effect of risk reduction is significant using weather swap, but geographical- basis risk and production-related basis risk are important factor that reduce the utility of weather derivatives.
Poseban tip vremenskih derivata predstavljaju vremenski forvardi, koji se najčešće javljaju u formi vremenskih svopova. Primenom stohastičke dominacije u radu je analiziran efekat smanjenja rizika u proizvodnji pšenice sa i bez primene vremenskog svopa. Rezultati pokazuju da je značajno smanjenje rizika primenom vremenskog svopa, ali da geografski i bazni rizik proizvodnje umnogome smanjuju korisnost vremenskih derivata.
Keywords:
expected revenue / wheat / standard deviation / stochastic dominance / weather swap / očekivana vrednost proizvodnje / pšenica / standardna devijacija / stohastička dominacija / vremenski svopSource:
Ratarstvo i povrtarstvo, 2012, 49, 1, 1-5Publisher:
- Institut za ratarstvo i povrtarstvo, Novi Sad
Funding / projects:
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Institution/Community
Poljoprivredni fakultetTY - JOUR AU - Marković, Todor AU - Jovanović, Milenko AU - Ivanović, Sanjin PY - 2012 UR - http://aspace.agrif.bg.ac.rs/handle/123456789/2932 AB - A special type of weather derivatives are weather forwards and they exists mostly in the form of weather swaps. Hedging effectiveness in wheat production with and without weather swap was analyzed in this paper using stochastic dominance. The results show that the effect of risk reduction is significant using weather swap, but geographical- basis risk and production-related basis risk are important factor that reduce the utility of weather derivatives. AB - Poseban tip vremenskih derivata predstavljaju vremenski forvardi, koji se najčešće javljaju u formi vremenskih svopova. Primenom stohastičke dominacije u radu je analiziran efekat smanjenja rizika u proizvodnji pšenice sa i bez primene vremenskog svopa. Rezultati pokazuju da je značajno smanjenje rizika primenom vremenskog svopa, ali da geografski i bazni rizik proizvodnje umnogome smanjuju korisnost vremenskih derivata. PB - Institut za ratarstvo i povrtarstvo, Novi Sad T2 - Ratarstvo i povrtarstvo T1 - Weather swap as an instrument for weather risk management in wheat production T1 - Vremenski svop kao instrument za upravljanje vremenskim rizicima u proizvodnji pšenice EP - 5 IS - 1 SP - 1 VL - 49 DO - 10.5937/ratpov49-1129 ER -
@article{ author = "Marković, Todor and Jovanović, Milenko and Ivanović, Sanjin", year = "2012", abstract = "A special type of weather derivatives are weather forwards and they exists mostly in the form of weather swaps. Hedging effectiveness in wheat production with and without weather swap was analyzed in this paper using stochastic dominance. The results show that the effect of risk reduction is significant using weather swap, but geographical- basis risk and production-related basis risk are important factor that reduce the utility of weather derivatives., Poseban tip vremenskih derivata predstavljaju vremenski forvardi, koji se najčešće javljaju u formi vremenskih svopova. Primenom stohastičke dominacije u radu je analiziran efekat smanjenja rizika u proizvodnji pšenice sa i bez primene vremenskog svopa. Rezultati pokazuju da je značajno smanjenje rizika primenom vremenskog svopa, ali da geografski i bazni rizik proizvodnje umnogome smanjuju korisnost vremenskih derivata.", publisher = "Institut za ratarstvo i povrtarstvo, Novi Sad", journal = "Ratarstvo i povrtarstvo", title = "Weather swap as an instrument for weather risk management in wheat production, Vremenski svop kao instrument za upravljanje vremenskim rizicima u proizvodnji pšenice", pages = "5-1", number = "1", volume = "49", doi = "10.5937/ratpov49-1129" }
Marković, T., Jovanović, M.,& Ivanović, S.. (2012). Weather swap as an instrument for weather risk management in wheat production. in Ratarstvo i povrtarstvo Institut za ratarstvo i povrtarstvo, Novi Sad., 49(1), 1-5. https://doi.org/10.5937/ratpov49-1129
Marković T, Jovanović M, Ivanović S. Weather swap as an instrument for weather risk management in wheat production. in Ratarstvo i povrtarstvo. 2012;49(1):1-5. doi:10.5937/ratpov49-1129 .
Marković, Todor, Jovanović, Milenko, Ivanović, Sanjin, "Weather swap as an instrument for weather risk management in wheat production" in Ratarstvo i povrtarstvo, 49, no. 1 (2012):1-5, https://doi.org/10.5937/ratpov49-1129 . .