Artikel

Spatially-aggregated temperature derivatives: Agricultural risk management in China

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In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the model dimension of multi-regional temperature-based weather derivatives pricing. Since the proposed contract serves as a risk management tool for all of the cities in the same climatic zone, we compare the risk hedging power between the climatic zone-based and the city-based GDD contracts. As a result, we find that the differences between the two types of temperature-based weather contracts are maintained within a certain range.

Language
Englisch

Bibliographic citation
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 4 ; Year: 2016 ; Issue: 3 ; Pages: 1-17 ; Basel: MDPI

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Optimization Techniques; Programming Models; Dynamic Analysis
Asset Pricing; Trading Volume; Bond Interest Rates
Agricultural Finance
Subject
agriculture
growth degree-day
risk management
weather derivatives

Event
Geistige Schöpfung
(who)
Zong, Lu
Ender, Manuela
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2016

DOI
doi:10.3390/ijfs4030017
Handle
Last update
10.03.2025, 11:43 AM CET

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Object type

  • Artikel

Associated

  • Zong, Lu
  • Ender, Manuela
  • MDPI

Time of origin

  • 2016

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