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on Risk Management |
| By: | Zi-Yi Guo (Wells Fargo Bank, N.A.) |
| Abstract: | In the last two years, the world crude oil prices have dropped dramatically, and consequently the oil market has become very volatile and risky. Since energy markets play very important roles in the international economy and have led several global economic crises, risk management of energy products prices becomes very important for both academicians and market participants. We apply Schwartz and Smith?s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts. The model includes a long-term factor and a short-term factor. We show that the two factors explain the Samuelson effect well and the model present well goodness of fit. Our backtesting results demonstrate that the models provide satisfactory risk measures for listed crude oil futures contracts. A simple estimation method possessing quick convergence is developed. |
| Keywords: | Factor model, Samuelson effect, value-at-risk, least square estimation. |
| JEL: | C58 G13 G32 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iefpro:4507452&r=rmg |
| By: | Jin Sun; Pavel V. Shevchenko; Man Chung Fung |
| Abstract: | Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate the impact of management fees on the pricing of variable annuity guarantees under optimal withdrawal strategies. Two optimal strategies, from policyholder's and from insurer's perspectives, are respectively formulated and the corresponding pricing problems are solved using dynamic programming. Our results show that when management fees are present, the two strategies can deviate significantly from each other, leading to a substantial difference of the guarantee insurance fees. This provides a possible explanation of lower guarantee insurance fees observed in the market. Numerical experiments are conducted to illustrate our results. |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.03787&r=rmg |
| By: | Qiang Yao; Xinmin Yang; Jie Sun |
| Abstract: | Optimization models based on coherent regret measures and coherent risk measures are of essential importance in financial management and reliability engineering. This paper studies the dual representations of these two measures. The relationship between risk envelopes and regret envelopes are established by using the Lagrangian duality theory. The notion of effective scaling domain is introduced and its properties are discussed. |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.00340&r=rmg |
| By: | Oliver Linton (Institute for Fiscal Studies and University of Cambridge); Jianbin Wu (Institute for Fiscal Studies) |
| Abstract: | We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two periods to have di fferent properties. To capture the very heavy tails of overnight returns, we adopt a dynamic conditional score model with t innovations. We propose a several step estimation procedure that captures the nonparametric slowly moving components by kernel estimation and the dynamic parameters by t maximum likelihood. We establish the consistency and asymptotic normality of our estimation procedures. We extend the modelling to the multivariate case. We apply our model to the study of the Dow Jones industrial average component stocks over the period 1991-2016 and the CRSP cap based portfolios over the period of 1992-2015. We show that actually the ratio of overnight to intraday volatility has increased in importance for big stocks in the last 20 years. In addition, our model provides better intraday volatility forecast since it takes account of the full dynamic consequences of the overnight shock and previous ones. |
| Date: | 2017–01–26 |
| URL: | http://d.repec.org/n?u=RePEc:ifs:cemmap:05/17&r=rmg |
| By: | Pierre-Richard Agénor; Luiz A. Pereira da Silva |
| Abstract: | The effects of capital requirements on risk-taking and welfare are studied in a stochastic overlapping generations model of endogenous growth with banking, limited liability, and government guarantees. Capital producers face a choice between a safe technology and a risky (but socially inefficient) technology, and bank risk-taking is endogenous. Setting the capital adequacy ratio above a structural threshold can eliminate the equilibrium with risky loans (and thus inefficient risk-taking), but numerical simulations show that this may entail a welfare loss. In addition, the optimal ratio may be too high in practice and may concomitantly require a broadening of the perimeter of regulation and a strengthening of financial supervision to prevent disintermediation and distortions in financial markets. |
| Keywords: | Capital Requirements, Bank risk-taking, Investment, Financial Stability, Economic Growth, Capital Goods, Financial Regulation, Financial Intermediaries, Financial Markets, risky investments, financial regulation, financial stability |
| JEL: | O41 G28 E44 |
| Date: | 2017–03 |
| URL: | http://d.repec.org/n?u=RePEc:idb:brikps:98078&r=rmg |
| By: | Beck, Thorsten; De Jonghe, Olivier; Mulier, Klaas |
| Abstract: | We propose a new stock return-based methodology to measure three dimensions of banks' sectoral concentration (specialization, differentiation,, financial sector exposure). Using these measures for a broad cross-section of banks and countries between 2002 and 2012, we estimate both the short- and long-run relationship between banks' sectoral concentration and banks' performance and stability. We find that bank volatility and systemic risk exposure decrease with banks' sectoral specialization and increase with banks' sectoral differentiation and financial sector exposure. These effects are significantly stronger in the long-run. Moreover, there exists important time and cross- country variation, with effects generally stronger during systemic stress periods. |
| Keywords: | bank concentration; bank risk; differentiation; factor model; sectoral specialization; systemic stability |
| JEL: | G01 G21 G28 L5 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:12009&r=rmg |
| By: | Paul Pichler; Flora Lutz |
| Abstract: | We study banks' borrowing and investment decisions in an economy with pecuniary externalities and both aggregate and idiosyncratic liquidity risk. We show that private decisions by pro t-maximizing banks always result in socially inecient outcomes, but the nature of ineciency depends critically on the structure of liquidity risk. Overborrowing and overinvestment in risky assets arises only if idiosyncratic risk is suciently small. By contrast, if idiosyncratic risk is large, unregulated banks underborrow, underinvest and hold insucient liquidity reserves. A macroprudential regulator can restore constrained eciency by imposing countercyclical reserve requirements. Pigouvian taxes or bank capital requirements cannot achieve this objective. |
| JEL: | E44 E58 G21 G28 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:vie:viennp:1701&r=rmg |
| By: | Epper, Thomas; Fehr-Duda, Helga |
| Abstract: | Almost all important decisions in people’s lives entail risky consequences. Some of these decisions involve events that materialize with a low probability but lead to extreme consequences such as loss of total wealth or accidental death. When facing such rare extreme events, people display considerable risk aversion in some situations whereas in others the opposite is the case. For example, the prospect of airplane and stock market crashes triggers high risk aversion but there is a low willingness to take out hazard or life insurance. We address this puzzle by arguing that the timing of the consequences and of uncertainty resolution are crucial for understanding these phenomena. We show that future uncertainty conjointly with people’s proneness to probability distortions generates a unifying framework for explaining the coexistence of over- and underweighting of rare extreme events. |
| Keywords: | Tail risk, insurance, risk preference, time preferences, extreme events, probability weighting |
| JEL: | D01 D81 D91 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:usg:econwp:2017:05&r=rmg |
| By: | Nobuyoshi Yamori (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan); Yoshihiro Asai (Meiji University, Japan and California State University, Northridge, USA) |
| Abstract: | We conducted a questionnaire survey regarding insurance and risk management of small and medium-sized enterprises (SMEs) all over Japan in 2014. Based on that survey, this research examined who prepared less against natural disasters before the 2011 Great East Japan Earthquake and how seriously Japanese SMEs with poor risk management were affected by the earthquake. We find that SMEs in a weaker financial condition tended to take fewer measures against earthquakes before the Great East Japan Earthquake. We also find that companies in a weaker financial condition tend to prepare less for earthquake risks even after the Great Earthquake. Furthermore, we find that direct damages from the Great East Japan Earthquake were more serious for SMEs with poor risk management than for those with sound risk management. |
| Keywords: | Small and medium-sized enterprises (SMEs), Earthquake insurance, Risk management, Natural disasters |
| JEL: | G22 G31 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:kob:dpaper:dp2017-14&r=rmg |
| By: | Bruno, Brunella; Nocera, Giacomo; Resti, Andrea Cesare |
| Abstract: | In this paper, we first explore the main drivers of the differences in RWAs across European banks. We also assess the impact of RWA-based capital regulation on bank's asset allocation in 2008-2014. We find that risk weights are affected by bank size, business models, and asset mix. We also find that the adoption of internal ratings-based approaches is an important driver of bank risk-weighted assets and that national segmentations explain a significant (albeit decreasing) share of the variability in risk weights. As for the impact on internal rating on banks' asset allocation, we uncover that banks using IRB approaches more extensively have reduced more (or increased less) their corporate loan portfolio. Such effect is somehow stronger for banks located in Euro periphery countries during the 2010-12 sovereign crisis. We do not find evidence, however, of a reallocation from corporate loans to government exposures, pointing to the fact that other motives prevail in explaining the banks' shift towards government bonds during the Euro sovereign crisis, including the "financial repression" channel. |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:12007&r=rmg |
| By: | Sonia Quiroga (University of Alcala); Emilio Cerdá (Universidad Complutense de Madrid) |
| Abstract: | Among the challenges facing the European Union agricultural sector in the coming years, the impacts of climate change could lead to much greater variability in farmers? incomes. In this context, the insurance industry will have to develop new instruments to cover farmers? incomes against losses due to meteorological factors. Some protective technologies that farmers can use for climate risk management have associated costs that vary as a function of the losses involved. These sorts of instruments compete with other less flexible instruments such as crop insurance. We here analyse an issue of decision-making, where the farmer can decide how much to invest in protection, as in situations where the farmer chooses which portion of a loss to protect in the case of adverse weather conditions, and we propose optimal management to mitigate the increasing negative effects of climate uncertainty. By analysing the optimal policy in a continuous choice situation, we consider whether farmers, as part of their crop management duties, should opt to protect some portion of their harvest value with available technologies, or whether they should protect the entire crop. To analyse this decision-making problem, we employ the cost-loss ratio model and take risk aversion into account. |
| Keywords: | Crop yield protection, climate risks, information value, cost-loss ratio, decision models |
| JEL: | Q00 C44 Q54 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iefpro:4507414&r=rmg |
| By: | Luigi Troiano; Elena Mejuto Villa; Pravesh Kriplani |
| Abstract: | Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock market index within the period Sept. 2000 - Feb. 2017. |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.01348&r=rmg |
| By: | Buch, Claudia M.; Krause, Thomas; Tonzer, Lena |
| Abstract: | In Europe, the financial stability mandate generally rests at the national level. But there is an important exception. Since the establishment of the Banking Union in 2014, the European Central Bank (ECB) can impose stricter regulations than the national regulator. The precondition is that the ECB identifies systemic risks which are not adequately addressed by the macroprudential regulator at the national level. In this paper, we ask whether the drivers of systemic risk differ when applying a national versus a European perspective. We use market data for 80 listed euro-area banks to measure each bank's contribution to systemic risk (SRISK) at the national and the euro-area level. Our research delivers three main findings. First, on average, systemic risk increased during the financial crisis. The difference between systemic risk at the national and the euro-area level is not very large, but there is considerable heterogeneity across countries and banks. Second, an exploration of the drivers of systemic risk shows that a bank's contribution to systemic risk is positively related to its size and profitability. It decreases in a bank's share of loans to total assets. Third, the qualitative determinants of systemic risk are similar at the national and euro-area level, whereas the quantitative importance of some determinants differs. |
| Keywords: | systemic risk,bank regulation,Banking Union |
| JEL: | G01 G21 G28 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:092017&r=rmg |
| By: | Jun Sakamoto (Graduate School of Economics, Osaka University) |
| Abstract: | Easley and O'HARA (2004) show that in the case that, while public information on firm fs returns is available to uninformed investors, informed investors are able to know not only public but also private information on firm fs returns, the premium caused by differences in the dispersion of information among investors exists. They obtain an implication that the increase in the ratio of private information magnifies the premium. The purpose of this paper is to examine whether or not the premium exists in the Japanese stock market. This paper shows that the higher the market uncertainty is, the larger the premium becomes. We analyze two implications using Japanese data from July, 2001 to December, 2013. As a result, whereas the premium does not exist in the case of the low market uncertainty, we observe the premium when the market uncertainty is high. This evidence is compatible with the second implication. |
| Keywords: | Visa; Information asymmetry among investors, Disclosure, Fama-French 3factor model |
| JEL: | G12 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:1711&r=rmg |
| By: | Duprey, Thibaut; Klaus, Benjamin |
| Abstract: | This paper predicts phases of the financial cycle by combining a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is due to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the MS model is outperforming in the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress. JEL Classification: C54, G01, G15 |
| Keywords: | continuous coincident financial stress measure, early warning model, time-varying transition probability Markov switching model |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20172057&r=rmg |
| By: | Roberto Alvarez; Erwin Hansen |
| Abstract: | This paper examines a panel (1994-2014) of Chilean non-financial firms, both publicly listed and private, which was built to analyze the determinants of the use of foreign currency debt and their potential consequences for firm investment and profitability. It is found that foreign assets and the use of FX derivatives are positively associated with firms' use of foreign currency debt. Also, depending on the estimation method, exports appear as an important determinant of the use of foreign currency debt. In terms of the potential effect of holding foreign currency debt on firms' performance after an exchange rate devaluation, no statistical differential effect is identified on either firm profitability or firm investment. This (lack of) result is interpreted as evidence that firms match liabilities and assets denominated in foreign currency and that firms actively involved in hedging aim to reduce their exposure to foreign exchange fluctuations. |
| Keywords: | Foreign Currency Debt, Foreign exchange, Bonds, Interest rates, Macroeconomics, Export Sales, Foreign Assets, Firm performance, non-financial firms, foreign exchange, interest rate |
| JEL: | E22 G31 F34 |
| Date: | 2017–02 |
| URL: | http://d.repec.org/n?u=RePEc:idb:brikps:97976&r=rmg |
| By: | Sergio Mayordomo (Banco de España); Antonio Moreno (University of Navarra); Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven, and CEPR); María Rodríguez-Moreno (Banco de España) |
| Abstract: | Little is known about the drivers and effectiveness of personal as opposed to real loan guarantees provided by firms. This paper studies a dataset of 477,209 loan contracts granted over the 2006-2014 period by one Spanish financial institution consisting of several distinguishable organisational units. While personal guarantees are mostly driven by the economic environment as reflected in firm and bank conditions, real guarantees are mostly explained by loan characteristics. In response to higher capital requirements imposed by the European authorities in 2011, personal guarantee requirements increased significantly more than their real counterparts. Our results imply that personal guarantees can discipline firms in their risk-taking, but their overuse can limit this positive effect and damage their performance. |
| Keywords: | banks, asymmetric information, real guarantees, personal guarantees, risk-taking, capital requirements |
| JEL: | D43 E32 G21 G32 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:1715&r=rmg |
| By: | Peter Carr; Roger Lee; Matthew Lorig |
| Abstract: | We prove that the variance swap rate equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic clock, which has arbitrary correlation with the driving Markov process. The payoff function $G$ of the European contract that prices the variance swap satisfies an ordinary integro-differential equation, which depends only on the dynamics of the Markov process, not on the clock. We present examples of Markov processes where $G$ can be computed explicitly. In general, the solutions $G$ are not contained in the logarithmic family previously obtained in the special case where the Markov process is a L\'evy process. |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.01069&r=rmg |
| By: | Elisa Alòs; Antoine Jacquier; Jorge A. León |
| Abstract: | For stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques. |
| Keywords: | Forward starting options, implied volatility, Malliavin calculus, stochastic volatility models |
| JEL: | C02 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1568&r=rmg |
| By: | Rupert Way; Fran\c{c}ois Lafond; J. Doyne Farmer; Fabrizio Lillo; Valentyn Panchenko |
| Abstract: | This paper considers how to optimally allocate investments in a portfolio of competing technologies. We introduce a simple model representing the underlying trade-off - between investing enough effort in any one project to spur rapid progress, and diversifying effort over many projects simultaneously to hedge against failure. We use stochastic experience curves to model the idea that investing more in a technology reduces its unit costs, and we use a mean-variance objective function to understand the effects of risk aversion. In contrast to portfolio theory for standard financial assets, the feedback from the experience curves results in multiple local optima of the objective function, so different optimal portfolios may exist simultaneously. We study the two-technology case and characterize the optimal diversification as a function of relative progress rates, variability, initial cost and experience, risk aversion and total demand. There are critical regions of the parameter space in which the globally optimal portfolio changes sharply from one local minimum to another, even though the underlying parameters change only marginally, so a good understanding of the parameter space is essential. We use the efficient frontier framework to visualize technology portfolios and show that the feedback leads to nonlinear distortions of the feasible set. |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.03423&r=rmg |
| By: | Stavros Stavroyiannis |
| Abstract: | The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to converge for computational reasons, and a usual parsimonious approach is the GJR-GARCH model. There is a disagreement in the literature and the specialized econometric software, on which constraints should be used for the parameters, introducing indirectly the distinction between asymmetry and leverage. We show that the approach used by various software packages is not consistent with the Nelson-Cao inequality constraints. Implementing Monte Carlo simulations, despite of the results being empirically correct, the estimated parameters are not theoretically coherent with the Nelson-Cao constraints for ensuring positivity of conditional variances. On the other hand ruling out the leverage hypothesis, the asymmetry term in the GJR model can take negative values when typical constraints like the condition for the existence of the second and fourth moments, are imposed. |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1705.00535&r=rmg |
| By: | Ceyhun Bora Durdu; Rochelle M. Edge; Daniel Schwindt |
| Abstract: | This note presents a simple methodology for measuring the severity of stress-test scenarios, which relies on a comparison of scenario developments with historically stressful episodes--specifically, recessions and house-price retrenchments. |
| Date: | 2017–05–05 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfn:2017-05-05&r=rmg |
| By: | Paul Calem; Ricardo Correa; Seung Jung Lee |
| Abstract: | We analyze how two types of recently used prudential policies affected the supply of credit in the United States. First, we test whether the U.S. bank stress tests had any impact on the supply of mortgage credit. We find that the first Comprehensive Capital Analysis and Review (CCAR) stress test in 2011 had a negative effect on the share of jumbo mortgage originations and approval rates at stress-tested banks-banks with worse capital positions were impacted more negatively. Second, we analyze the impact of the 2013 Supervisory Guidance on Leveraged Lending and subsequent 2014 FAQ notice, which clarified expectations on the Guidance. We find that the share of speculative-grade term-loan originations decreased notably at regulated banks after the FAQ notice. |
| Keywords: | bank stress tests, CCAR, Home Mortgage Disclosure Act (HMDA) data, jumbo mortgages, leveraged lending, macroprudential policy, Shared National Credit (SNC) data, Interagency Guidance on Leveraged Lending, syndicated loan market |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:635&r=rmg |
| By: | Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa); Christos Kollias (Department of Economics, University of Thessaly, Volos, Greece); Stephanos Papadamou (Department of Economics, University of Thessaly, Volos, Greece); Mark E. Wohar (College of Business Administration, University of Nebraska at Omaha, Omaha, USA and School of Business and Economics, Loughborough University, Leicestershire, UK) |
| Abstract: | Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock–bond covariance, their returns and their variances. The time varying association between the two markets has attracted considerable attention due to its important implications for asset allocation, portfolio selection and risk management. The issue at hand is addressed using a VAR(p)-BEKK-GARCH(1,1)-in-mean model and the results reported herein indicate that different types of news implied volatility as quantified by the NVIX developed by Manela and Moreira (2017) affects differently USA and UK returns, variances and covariance. |
| Keywords: | NVIX index, Stock-bond covariance, GARCH models |
| JEL: | E44 G10 G15 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201730&r=rmg |
| By: | Hill, Ruth Vargas; Kumar, Neha; Magnan, Nicholas; Makhija, Simrin; de Nicola, Francesca; Spielman, David J.; Ward, Patrick S. |
| Abstract: | It is widely acknowledged that unmitigated risks provide a disincentive for otherwise optimal investments in modern farm inputs. Index insurance provides a means for managing risk without the burdens of asymmetric information and high transaction costs that plague traditional indemnity-based crop insurance programs. Yet many index insurance programs that have been piloted around the world have met with rather limited success, so the potential for insurance to foster more intensive agricultural production has yet to be realized. This study assesses both the demand for and the effectiveness of an innovative index insurance product designed to help smallholder farmers in Bangladesh manage risk to crop yields and the increased production costs associated with drought. Villages were randomized into either an insurance treatment or a comparison group, and discounts and rebates were randomly allocated across treatment villages to encourage insurance take-up and to allow for the estimation of the price elasticity of insurance demand. Among those offered insurance, we find insurance demand to be moderately price elastic, with discounts significantly more successful in stimulating demand than rebates. Farmers who are highly risk averse or sensitive to basis risk prefer a rebate to a discount, suggesting that the rebate may partially offset some of the implicit costs associated with insurance contract nonperformance. Having insurance yields both ex ante risk management effects and ex post income effects on agricultural input use. The risk management effects lead to increased expenditures on inputs during the aman rice-growing season, including expenditures for risky inputs such as fertilizers, as well as those for irrigation and pesticides. The income effects lead to increased seed expenditures during the boro rice-growing season, which may signal insured farmers’ higher rates of seed replacement, which broadens their access to technological improvements embodied in newer seeds as well as enhancing the genetic purity of cultivated seeds. |
| Keywords: | agriculture; investment; risk management; insurance; risk; weather hazards; drought; weather; climate; price elasticities; price formation; inputs; farm inputs; fertilizers; irrigation; pesticides; crops; yields; smallholders, index insurance; risk and uncertainty, O12 Microeconomic Analyses of Economic Development; O13 Economic Development: Agriculture, Natural Resources, Energy, Environment, Other Primary Product; Q12 Micro Analysis of Farm Firms, Farm Households, and Farm Input Markets; G22 Insurance, Insurance Companies, Actuarial Studies, |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:ifprid:1630&r=rmg |