Autori
Raucci, Gian Lucca
Lanna, Rodrigo
Da Silveira, Franco
Capitani, Daniel Henrique Dario

Titolo
Development of weather derivatives: evidence from the Brazilian soybean market
Periodico
Rivista di economia agraria
Anno: 2019 - Volume: 74 - Fascicolo: 2 - Pagina iniziale: 1 - Pagina finale: 28

The purpose of this study is to design a weather derivative contract and eval-uate the hedging efficiency into the Brazilian soybean market against lack of rainfall in the crop cycle. We adopt European put options with two different types of underly-ing rainfall index (equal-weighted index and growth-weighted index), using a dataset of daily precipitation and annual production for six areas located in the south of Brazil. Pricing follows the index modeling method, using the estimated payoff distribution for fair premium calculation. The contract premium varied from 10% to 15% of revenue per hectare. Results show that the adoption of the weather-based derivatives reduced the producers’ income volatility substantially (around 30%).



SICI: 0035-6190(2019)74:2<1:DOWDEF>2.0.ZU;2-O
Testo completo: https://oajournals.fupress.net/index.php/rea/article/view/10850/10818

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