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Basis risk and weather hedging effectiveness

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  • Joshua D. Woodard
  • Philip Garcia

Abstract

Keywords: Basis risk, Hedging effectiveness, Spatial aggregation, Weather derivatives

Suggested Citation

  • Joshua D. Woodard & Philip Garcia, 2008. "Basis risk and weather hedging effectiveness," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 68(1), pages 99-117, May.
    • Handle: RePEc:eme:afrpps:v:68:y:2008:i:1:p:99-117
    DOI: 10.1108/00214660880001221
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    References listed on IDEAS

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    1. Chuck Mason & Dermot J. Hayes & Sergio H. Lence, 2002. "Systemic risk in U.S. crop reinsurance programs," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 63(1), pages 23-39, December.
    2. Vincent H. Smith & Barry K. Goodwin, 1995. "The Economics of Crop Insurance and Disaster Aid," Books, American Enterprise Institute, number 53374, September.
    3. Dermot J. Hayes & Sergio H. Lence & Chuck Mason, 2003. "Could the government manage its exposure to crop reinsurance risk?," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 63(2), pages 127-142, November.
    4. Karyl Leggio & Donald Lien, 2002. "Hedging gas bills with weather derivatives," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 88-100, March.
    5. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2004. "Pricing Weather Derivatives," Working Papers 28536, Arizona State University, Morrison School of Agribusiness and Resource Management.
    6. Jewson,Stephen & Brix,Anders, 2005. "Weather Derivative Valuation," Cambridge Books, Cambridge University Press, number 9780521843713, January.
    7. Lence, Sergio H., 1996. "Relaxing The Assumptions Of Minimum-Variance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(1), pages 1-17, July.
    8. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
    9. Martin, Steven W. & Barnett, Barry J. & Coble, Keith H., 2001. "Developing And Pricing Precipitation Insurance," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 26(1), pages 1-14, July.
    10. Joseph W. Glauber, 2004. "Crop Insurance Reconsidered," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(5), pages 1179-1195.
    11. Mario J. Miranda & Joseph W. Glauber, 1997. "Systemic Risk, Reinsurance, and the Failure of Crop Insurance Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 206-215.
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