农业天气风险管理的金融创新路径研究
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摘要
全球气候变暖、温室气体减排以及如何适应气候变化是当前的热点问题。气候变化以及越来越频繁的极端天气事件会引起农业生态环境、生产布局与结构的变化,对农业生产以及所需资源长期稳定的获得和利用有着严重威胁、对社会经济与农业生产有着严重影响。农业对于人类生存至关重要,而它又对气候条件高度敏感,中国大多数人口的生存严重倚赖农业,目前也面临着生态和经济方面的挑战,天气气候变化风险使得这一问题更为严峻。
有效的天气风险管理能减少农业因天气风险遭受的损失,提升农业的风险管理水平和生产效率,减弱或消除农业所面临的天气风险,使农业未来获得稳定的收益,减少不确定性。虽然天气风险管理在农业中的应用非常广泛,但我国目前管理和转移农业天气风险的路径和措施存在着种种不足,不能够满足对于农业天气风险管理的迫切需求。天气风险管理方法包括风险自留、风险控制、风险转移等方法,本文将在对上述各种方法进行分析的基础上,指出金融创新产品这种风险转移的路径能有效管理农业天气风险,天气指数保险和天气衍生品作为农业天气风险管理的主要创新工具,能实现上述功能,是转移农业天气风险的有力工具。结合天气指数保险及天气衍生品在国际上先进、成熟的实践经验,本文针对我国目前的发展状况提出相应的发展对策,并分别基于面板数据模型和ARMA的时间序列模型开发设计出符合我国实际情况的天气指数保险合同和天气衍生品合约。
本研究的主要内容和研究结论如下：
第一,天气风险是农业生产面临的主要风险。通过对农业面临天气风险的分析,发现农业对于天气的敏感性很高,天气风险对农业造成的损失严重,尤其是干旱、洪涝、风雹和低温冻害等对我国农业造成的影响最大。使用1990-2009年湖北省78个县市与粮食相关的生产数据和气候数据,运用经济-气候模型(简称C-D-C模型)分析包括气候因子在内的各个因素对湖北省粮食产量的影响,研究结果表明,平均气温、降水和日照变化均存在对湖北省粮食产量影响的最大值,影响呈“倒U型”结构,说明粮食生长需要稳定的气温、降水和日照,气温过高、降水过少、日照强度大会引起干旱；而气温过低会产生冻害,降水过多则可能导致洪涝灾害的发生,这些都会对粮食生产产生负面的影响。在上述分析的基础上指出我国面临着比较严重的天气风险,天气风险对农业的影响也越来越大,对农业天气风险管理的需求也越来越强烈,但我国的天气风险管理体系与天气风险管理的有效路径都很缺失。
第二,天气指数保险与天气衍生品是转移农业天气风险的重要工具。在对风险管理可行方法进行论述、分析传统农业保险存在的问题以及天气指数保险和传统农业保险对比分析的基础上,指出天气指数保险具有道德风险少、避免逆向选择、管理成本低、容易与其他金融产品绑定等优势,天气指数保险是对农业保险的创新,能有效转移农业天气风险；在对天气衍生品和其标的指数进行介绍的基础上,说明了农业生产者等主体能运用天气衍生品来实现天气风险管理。天气指数保险与天气衍生品本质上都是金融衍生产品,二者互为补充、互相促进,各有优势,均是转移天气风险的重要金融创新工具。
第三,我国天气指数保险已处于实践阶段,天气衍生品市场处于探索阶段。总结了我国国内的天气指数保险发展现状：我国部分地区,包括上海、安徽、江西、浙江、陕西等,已开始了相关研发与试点。特别总结了上海西瓜梅雨指数保险合同主要内容和试点情况；江西蜜橘冻害指数保险开展情况；指出在世界粮食计划署、世界银行等机构的支持下,安徽水稻种植天气指数保险的开展和安徽小麦天气指数保险的首例赔付。在此基础上对上海西瓜梅雨指数保险、江西蜜橘冻害指数保险和安徽水稻与小麦天气指数保险实践效果进行了分析。我国的天气风险市场还没有建立起来,但我国已有一定的基础,具备了开发天气衍生品的基本条件。
第四,国外农业天气风险管理金融创新产品实践及经验启示。分析总结出国外已经广泛运用天气指数保险和天气衍生品来转移天气风险：发达国家较早就对天气指数保险进行了设计,在世界银行、世界粮食计划署等机构的支持下,发展中国家也陆续开展了天气指数保险产品的研发和试点工作；国外的天气衍生品市场起步也比较早、发展成熟。结合国外经验,针对天气指数保险方面,提出我国需要加强气象技术的发展、发展银保模式等；天气衍生品开发方面,可以首先推出哈尔滨、北京、上海、广州、武汉和大连6个城市的气温指数,率先设计气温指数天气衍生品合约、首先发展场内交易等。
第五,湖北省稻谷生长期降雨量指数保险合同设计。在阐述天气指数的选取标准、天气指数保险中主要的天气变量、天气指数保险赔付触发原理,以及天气指数农业保险基差风险问题的基础上,按照天气指数保险合同的定义设计了稻谷干旱指数保险合同与稻谷暴雨灾害指数保险合同,选定的期间为稻谷生长期(湖北地区为3月到10月),天气指标为累积降雨量。具体选取了孝感、随州、十堰、襄樊市及其辖内各个县市的面板数据设计了干旱指数保险合同；选取江汉平原区域和咸宁市及辖内的面板数据设计了暴雨灾害指数保险合同。模型结果显示,对于十堰、襄樊等干旱区域,累积降水量对稻谷单产有着正的、显著的边际影响,而对于江汉平原地区、咸宁市及其辖内县市这些暴雨集中区域,累积降水量在10%的水平下统计显著,有着显著的负向作用。
第六,武汉市气温看涨期权合约开发。在阐述天气衍生品相关金融产品,特别地,在对看涨期权、看跌期权、套保期权、互换、撞入和撞出期权进行示例分析的基础上,选取武汉市1990年1月1日至2009年12月31日的每日气温数据,引入了ARMA的时间序列模型进行估计,发现基本上不再有序列相关性,各个系数非常显著,模型估计结果的验证也显示预测值与实际值拟合效果非常好。进一步地,在介绍气温期权定价模型的基础上,选取气温期权标的指数为GDDs,对ARMA模型的精确度进行了检验,发现偏差率与方差率的值都很小,协方差率的值则很大,能够说明模型具有很好的拟合效果。总体上,基于ARMA的时间序列模型分析了武汉市气温动态变化的过程,实证结果证实该模型有较好的拟合优度,能以此为基础对气温期权产品进行合理定价。
本研究的主要创新之处在于：
首先,基于风险管理视角的农业天气风险金融创新路径研究。本文从风险管理视角对农业天气风险管理的金融创新路径进行了研究,将金融创新产品这一转移天气风险的机制延伸并运用到农业天气风险管理中,为规避与转移农业天气风险提供了一条新的路径,完善了我国农业天气风险管理体系。
其次,基于气象数据与生产数据农业天气风险管理必要性分析。本文运用湖北省20年78个县市的气象数据与相关生产数据,综合考虑了气候因素与社会经济因素、实证分析了天气风险对粮食生产的影响,解释了天气气候因素与农业生产之间的关系,说明了农业天气风险管理的迫切需求,也为地方政府相应决策提供了科学依据。
最后,基于面板数据与FGLS估计的湖北省稻谷生长期降雨量指数保险合同设计；基于ARMA时间序列模型的武汉市气温看涨期权合约开发。本文采用1990-2009年湖北省78个县市的面板数据,基于累积降雨量,分别设计了湖北省稻谷干旱指数保险合同和稻谷暴雨灾害指数保险合同；利用1990-2009年武汉市共20年的每日气温数据(共7300项),基于ARMA的时间序列模型开发了武汉市气温看涨期权合约。这有别于国内目前大多是理论方面探讨的研究,本文的实证研究,对该领域的研究进行了完善和补充。
本研究成果对于完善我国农业天气风险管理体系、为农业天气风险管理提供有效路径以满足我国农业天气风险管理需求,以及丰富我国金融市场产品、推进金融工程创新、完善我国金融市场的结构和功能具有一定的理论和现实意义。
Global warming, greenhouse gas emissions and how to adapt to climate change are currently hot issues. Climate change and increasingly frequency of extreme weather events will cause changes in agricultural ecological environment, production layout and the structure. They also have serious threat to the long-term stability of agricultural production as well as the resources required to obtain and use, and have serious impact on socio-economic and agricultural production. Agriculture is essential for human survival, which is also highly sensitive to climatic conditions. The survival of the majority of the population in China is heavily dependent on agriculture, is also facing the challenges of the ecological and economic aspects, weather and climate change risks making the problem more severe.
Weather risk management can reduce agricultural losses suffered due to weather risk, enhance risk management and production efficiency in agriculture, weaken or eliminate weather risk that agriculture facing, let agriculture obtain stable income in the future, and reduce uncertainty. Although weather risk management is widely used in agriculture, our existing mechanisms and measures for the management and transferring of agricultural weather risk have their deficiencies, which can not meet the urgent needs of agricultural weather risk management. Weather risk management including risk retention, risk control, risk transfer and so on, this article will be based on the analysis of the various methods to point out that financial innovations as risk transfer pathways can effectively manage the agricultural weather risk. Both weather index insurance and weather derivatives are the main innovation tools that can achieve the above functions, which are powerful tools for transferring agricultural weather risk. Combination international advanced and mature practical experience of weather index insurance and derivatives, this paper proposes development strategies in our country based on the view of current development, and uses panel data model and ARMA time series model designed to develop weather index insurance and weather derivatives contracts in line with the actual situation in China.
The main contents and conclusions of this study are as follows:
First, weather risk is the main risk agricultural production facing. By analysis of the weather risk agriculture facing, we find that agriculture is highly sensitive to weather. Weather risk results in serious loss on agriculture, especially the risk of drought, floods, hail, and low-temperature damage, and so on, which have severe impact on China's agriculture. This paper uses food production data and climate data of the78counties in Hubei Province from1990to2009, and the uses of economic-climate model (referred to as the C-D-C Model) to analyze the impact of various factors, including climatic factors, on food production in Hubei Province. Research results show that the average temperature, precipitation and sunshine changes each has a maximum impact on food yield in Hubei Province, and the impact is inverted U-shaped structure, which means that grain growth requires a stable temperature, precipitation and sunshine, too high of the temperature, too little precipitation, too high of the sunshine intensity could cause drought. While the temperature is too low will produce frost damage, excessive rainfall may lead to the occurrence of floods, which will have a negative impact on their production. Based on above analysis, this article points out that China is facing more serious weather risk, weather risk in agriculture is also growing, and the demand for agricultural weather risk management has become stronger, but both our weather risk management system and effective way of weather risk management are missing.
Second, weather index insurance and weather derivatives are important tools for transferring agricultural weather risk. Based on discussing feasible risk management method, analyzing problems of traditional agricultural insurance, and comparative analysis of weather index insurance and agricultural insurance, we point out that weather index insurance has advantages of less moral hazard, avoiding adverse selection, low management cost, easily binding with other financial products and so on. Weather index insurance is the innovation of agricultural insurance, it can effectively transferring agricultural weather risk. Based on introducing weather derivatives and the underlying index, it shows that agricultural producers and others could be able to use weather derivatives to achieve their climate risk management. Weather index insurance and weather derivatives in nature are financial derivatives, the two complement each other and promote each other, have their own advantages, are important financial innovations in transferring weather risk
Third, our weather index insurance has been in the practice stage and weather derivatives market at the exploratory stage. We summed up China's domestic weather index insurance development, shows that some areas in our country, including Shanghai, Anhui, Zhejiang, Shaanxi, and so on, have began to R&D and pilot. We have a special presentation of the index insurance contracts and pilot of Shanghai watermelon rainy season index insurance, situation of Jiangxi tangerine frost damage index insurance, and point out that with support of the World Food Programme (WFP), the World Bank and other institutions, Anhui rice planting weather index insurance to carry out the first case and Anhui wheat weather index insurance claims. Based on which Shanghai watermelon rainy index insurance, Jiangxi tangerine frost damage index insurance and Anhui rice and wheat weather index insurance practice effect are analyzed. Weather risk market in China has not been established, but China has a certain foundation, with the basic conditions for the development of weather derivatives.
Fourth, enlightenment of foreign agricultural weather risk management financial innovation practice and experience. Analysis shows that abroad have widely used weather index insurance and weather derivatives to transfer weather risks, and developed countries develop earlier on the weather index insurance design. Supported by the World Bank, the World Food Programme (WFP) and other agencies, developing countries are carrying out R&D and pilot of the weather index insurance products. Weather derivatives market in foreign countries started earlier and mature. Learning from foreign experiences, weather index insurance in China needs to strengthen development of meteorological technology, development of bancassurance mode and so on. To develop weather derivatives, we can first introduce temperature index in the six cities including Harbin, Beijing, Shanghai, Guangzhou, Wuhan and Dalian, first design temperature index weather derivatives contracts, and first develop exchange-traded, and so on.
Fifth, Hubei rice growing season rainfall index insurance contract design. Based on elaborating weather index selection criteria, the main weather variables in weather index insurance, weather index insurance claims triggered principle, as well as basis risk, rice drought index insurance contracts and rice rainstorm disasters index insurance contracts are designed in accordance with the definition of weather index insurance contracts. Selected period during the rice growing season (Hubei Province from March to October), and accumulated rainfall is the weather indicator. Specifically, selecting panel data of Xiaogan, Suizhou, Shiyan, Xiangfan City within their jurisdiction counties to design drought index insurance contracts, and panel data of Jianghan Plain area, Xianning City and its jurisdiction to design rainstorm disasters index insurance contract. Results of the model show that the cumulative precipitation has a positive and significant marginal effect on rice yield in Shiyan, Xiangfan and other arid regions, the cumulative rainfall in10%level of statistical significance, has a significant negative effect on rainstorm concentrated areas including Jianghan Plain, Xianning City and the counties and cities within their jurisdiction.
Sixth, the temperature call option contract development in Wuhan City. Based on elaborating weather derivatives related financial products, particularly, sample analysis of the call option, put option, hedging options, swaps, crashed into and knocked options, we select daily temperature data of Wuhan City from January1,1990to December31,2009, and introduce the ARMA time series model to estimate, find that basically there is no serial correlation, coefficients are very significant, and validation of the model estimation results also display the fitting effect of predicted value and the actual value is very good. Further, based on the introduction of the temperature option pricing model, we select GDDs as the underlying index of temperature option, and test the accuracy of the ARMA model, find that value of the rate of deviation and variance rate are very small, and the covariance error rate value very large, this proofs that the model has a good fitting effect. Overall, based on ARMA time series model to analyze the dynamic process of the temperature change in Wuhan City, and the empirical results confirm the model has a better goodness of fit, which could be as a basis for reasonable temperature options products pricing.
In this study, the main innovation lies in:
Firstly, analysis on financial innovation path of agricultural weather risk on risk management perspective. This paper researches on financial innovative approach of agricultural weather risk management from a risk management perspective, extends and applies financial innovation, which is the mechanism of weather risk transferring, to agricultural weather risk management, in order to provide a new path to circumvent and transfer agricultural weather risk and perfect China's agricultural weather risk management system.
Secondly, analysis of the need for agricultural weather risk management based on the meteorological data and production data. This paper uses meteorological data and relevant production data including20years in78counties of Hubei province, by comprehensive consideration of climatic factors and socio-economic factors, has an empirical analysis of the impact of weather risk on food production, explains the relationship between climate factors and agricultural production, indicating the urgent needs of agricultural weather risk management, and also provides a scientific basis for corresponding decision of the local government.
Finally, designing Hubei rice growing season rainfall index insurance contract based on panel data and FGLS estimation, and developing temperature call option based on ARMA time series model in Wuhan City. This paper uses panel data from1990to2009in78cities and counties of Hubei Province, based on the cumulative rainfall to design Hubei rice drought index insurance contract and rice rainstorm disaster index insurance contract, and uses a total of20years daily temperature data (7300) from1990to2009in Wuhan City, based on ARMA time series model to develop temperature call option contract in Wuhan City. These are different from most theoretical aspects of the research in our country, and the empirical research of this paper would improve and supplement the research in this field.
The results of this research have certain theoretical and practical significance on improving China's agricultural weather risk management system, providing effective ways for agricultural weather risk management to meet the risk management needs of China's agricultural weather, and a wealth of China's financial markets products, promoting financial engineering innovation, and improving the structure and function of China's financial markets.
有效的天气风险管理能减少农业因天气风险遭受的损失,提升农业的风险管理水平和生产效率,减弱或消除农业所面临的天气风险,使农业未来获得稳定的收益,减少不确定性。虽然天气风险管理在农业中的应用非常广泛,但我国目前管理和转移农业天气风险的路径和措施存在着种种不足,不能够满足对于农业天气风险管理的迫切需求。天气风险管理方法包括风险自留、风险控制、风险转移等方法,本文将在对上述各种方法进行分析的基础上,指出金融创新产品这种风险转移的路径能有效管理农业天气风险,天气指数保险和天气衍生品作为农业天气风险管理的主要创新工具,能实现上述功能,是转移农业天气风险的有力工具。结合天气指数保险及天气衍生品在国际上先进、成熟的实践经验,本文针对我国目前的发展状况提出相应的发展对策,并分别基于面板数据模型和ARMA的时间序列模型开发设计出符合我国实际情况的天气指数保险合同和天气衍生品合约。
本研究的主要内容和研究结论如下：
第一,天气风险是农业生产面临的主要风险。通过对农业面临天气风险的分析,发现农业对于天气的敏感性很高,天气风险对农业造成的损失严重,尤其是干旱、洪涝、风雹和低温冻害等对我国农业造成的影响最大。使用1990-2009年湖北省78个县市与粮食相关的生产数据和气候数据,运用经济-气候模型(简称C-D-C模型)分析包括气候因子在内的各个因素对湖北省粮食产量的影响,研究结果表明,平均气温、降水和日照变化均存在对湖北省粮食产量影响的最大值,影响呈“倒U型”结构,说明粮食生长需要稳定的气温、降水和日照,气温过高、降水过少、日照强度大会引起干旱；而气温过低会产生冻害,降水过多则可能导致洪涝灾害的发生,这些都会对粮食生产产生负面的影响。在上述分析的基础上指出我国面临着比较严重的天气风险,天气风险对农业的影响也越来越大,对农业天气风险管理的需求也越来越强烈,但我国的天气风险管理体系与天气风险管理的有效路径都很缺失。
第二,天气指数保险与天气衍生品是转移农业天气风险的重要工具。在对风险管理可行方法进行论述、分析传统农业保险存在的问题以及天气指数保险和传统农业保险对比分析的基础上,指出天气指数保险具有道德风险少、避免逆向选择、管理成本低、容易与其他金融产品绑定等优势,天气指数保险是对农业保险的创新,能有效转移农业天气风险；在对天气衍生品和其标的指数进行介绍的基础上,说明了农业生产者等主体能运用天气衍生品来实现天气风险管理。天气指数保险与天气衍生品本质上都是金融衍生产品,二者互为补充、互相促进,各有优势,均是转移天气风险的重要金融创新工具。
第三,我国天气指数保险已处于实践阶段,天气衍生品市场处于探索阶段。总结了我国国内的天气指数保险发展现状：我国部分地区,包括上海、安徽、江西、浙江、陕西等,已开始了相关研发与试点。特别总结了上海西瓜梅雨指数保险合同主要内容和试点情况；江西蜜橘冻害指数保险开展情况；指出在世界粮食计划署、世界银行等机构的支持下,安徽水稻种植天气指数保险的开展和安徽小麦天气指数保险的首例赔付。在此基础上对上海西瓜梅雨指数保险、江西蜜橘冻害指数保险和安徽水稻与小麦天气指数保险实践效果进行了分析。我国的天气风险市场还没有建立起来,但我国已有一定的基础,具备了开发天气衍生品的基本条件。
第四,国外农业天气风险管理金融创新产品实践及经验启示。分析总结出国外已经广泛运用天气指数保险和天气衍生品来转移天气风险：发达国家较早就对天气指数保险进行了设计,在世界银行、世界粮食计划署等机构的支持下,发展中国家也陆续开展了天气指数保险产品的研发和试点工作；国外的天气衍生品市场起步也比较早、发展成熟。结合国外经验,针对天气指数保险方面,提出我国需要加强气象技术的发展、发展银保模式等；天气衍生品开发方面,可以首先推出哈尔滨、北京、上海、广州、武汉和大连6个城市的气温指数,率先设计气温指数天气衍生品合约、首先发展场内交易等。
第五,湖北省稻谷生长期降雨量指数保险合同设计。在阐述天气指数的选取标准、天气指数保险中主要的天气变量、天气指数保险赔付触发原理,以及天气指数农业保险基差风险问题的基础上,按照天气指数保险合同的定义设计了稻谷干旱指数保险合同与稻谷暴雨灾害指数保险合同,选定的期间为稻谷生长期(湖北地区为3月到10月),天气指标为累积降雨量。具体选取了孝感、随州、十堰、襄樊市及其辖内各个县市的面板数据设计了干旱指数保险合同；选取江汉平原区域和咸宁市及辖内的面板数据设计了暴雨灾害指数保险合同。模型结果显示,对于十堰、襄樊等干旱区域,累积降水量对稻谷单产有着正的、显著的边际影响,而对于江汉平原地区、咸宁市及其辖内县市这些暴雨集中区域,累积降水量在10%的水平下统计显著,有着显著的负向作用。
第六,武汉市气温看涨期权合约开发。在阐述天气衍生品相关金融产品,特别地,在对看涨期权、看跌期权、套保期权、互换、撞入和撞出期权进行示例分析的基础上,选取武汉市1990年1月1日至2009年12月31日的每日气温数据,引入了ARMA的时间序列模型进行估计,发现基本上不再有序列相关性,各个系数非常显著,模型估计结果的验证也显示预测值与实际值拟合效果非常好。进一步地,在介绍气温期权定价模型的基础上,选取气温期权标的指数为GDDs,对ARMA模型的精确度进行了检验,发现偏差率与方差率的值都很小,协方差率的值则很大,能够说明模型具有很好的拟合效果。总体上,基于ARMA的时间序列模型分析了武汉市气温动态变化的过程,实证结果证实该模型有较好的拟合优度,能以此为基础对气温期权产品进行合理定价。
本研究的主要创新之处在于：
首先,基于风险管理视角的农业天气风险金融创新路径研究。本文从风险管理视角对农业天气风险管理的金融创新路径进行了研究,将金融创新产品这一转移天气风险的机制延伸并运用到农业天气风险管理中,为规避与转移农业天气风险提供了一条新的路径,完善了我国农业天气风险管理体系。
其次,基于气象数据与生产数据农业天气风险管理必要性分析。本文运用湖北省20年78个县市的气象数据与相关生产数据,综合考虑了气候因素与社会经济因素、实证分析了天气风险对粮食生产的影响,解释了天气气候因素与农业生产之间的关系,说明了农业天气风险管理的迫切需求,也为地方政府相应决策提供了科学依据。
最后,基于面板数据与FGLS估计的湖北省稻谷生长期降雨量指数保险合同设计；基于ARMA时间序列模型的武汉市气温看涨期权合约开发。本文采用1990-2009年湖北省78个县市的面板数据,基于累积降雨量,分别设计了湖北省稻谷干旱指数保险合同和稻谷暴雨灾害指数保险合同；利用1990-2009年武汉市共20年的每日气温数据(共7300项),基于ARMA的时间序列模型开发了武汉市气温看涨期权合约。这有别于国内目前大多是理论方面探讨的研究,本文的实证研究,对该领域的研究进行了完善和补充。
本研究成果对于完善我国农业天气风险管理体系、为农业天气风险管理提供有效路径以满足我国农业天气风险管理需求,以及丰富我国金融市场产品、推进金融工程创新、完善我国金融市场的结构和功能具有一定的理论和现实意义。
Global warming, greenhouse gas emissions and how to adapt to climate change are currently hot issues. Climate change and increasingly frequency of extreme weather events will cause changes in agricultural ecological environment, production layout and the structure. They also have serious threat to the long-term stability of agricultural production as well as the resources required to obtain and use, and have serious impact on socio-economic and agricultural production. Agriculture is essential for human survival, which is also highly sensitive to climatic conditions. The survival of the majority of the population in China is heavily dependent on agriculture, is also facing the challenges of the ecological and economic aspects, weather and climate change risks making the problem more severe.
Weather risk management can reduce agricultural losses suffered due to weather risk, enhance risk management and production efficiency in agriculture, weaken or eliminate weather risk that agriculture facing, let agriculture obtain stable income in the future, and reduce uncertainty. Although weather risk management is widely used in agriculture, our existing mechanisms and measures for the management and transferring of agricultural weather risk have their deficiencies, which can not meet the urgent needs of agricultural weather risk management. Weather risk management including risk retention, risk control, risk transfer and so on, this article will be based on the analysis of the various methods to point out that financial innovations as risk transfer pathways can effectively manage the agricultural weather risk. Both weather index insurance and weather derivatives are the main innovation tools that can achieve the above functions, which are powerful tools for transferring agricultural weather risk. Combination international advanced and mature practical experience of weather index insurance and derivatives, this paper proposes development strategies in our country based on the view of current development, and uses panel data model and ARMA time series model designed to develop weather index insurance and weather derivatives contracts in line with the actual situation in China.
The main contents and conclusions of this study are as follows:
First, weather risk is the main risk agricultural production facing. By analysis of the weather risk agriculture facing, we find that agriculture is highly sensitive to weather. Weather risk results in serious loss on agriculture, especially the risk of drought, floods, hail, and low-temperature damage, and so on, which have severe impact on China's agriculture. This paper uses food production data and climate data of the78counties in Hubei Province from1990to2009, and the uses of economic-climate model (referred to as the C-D-C Model) to analyze the impact of various factors, including climatic factors, on food production in Hubei Province. Research results show that the average temperature, precipitation and sunshine changes each has a maximum impact on food yield in Hubei Province, and the impact is inverted U-shaped structure, which means that grain growth requires a stable temperature, precipitation and sunshine, too high of the temperature, too little precipitation, too high of the sunshine intensity could cause drought. While the temperature is too low will produce frost damage, excessive rainfall may lead to the occurrence of floods, which will have a negative impact on their production. Based on above analysis, this article points out that China is facing more serious weather risk, weather risk in agriculture is also growing, and the demand for agricultural weather risk management has become stronger, but both our weather risk management system and effective way of weather risk management are missing.
Second, weather index insurance and weather derivatives are important tools for transferring agricultural weather risk. Based on discussing feasible risk management method, analyzing problems of traditional agricultural insurance, and comparative analysis of weather index insurance and agricultural insurance, we point out that weather index insurance has advantages of less moral hazard, avoiding adverse selection, low management cost, easily binding with other financial products and so on. Weather index insurance is the innovation of agricultural insurance, it can effectively transferring agricultural weather risk. Based on introducing weather derivatives and the underlying index, it shows that agricultural producers and others could be able to use weather derivatives to achieve their climate risk management. Weather index insurance and weather derivatives in nature are financial derivatives, the two complement each other and promote each other, have their own advantages, are important financial innovations in transferring weather risk
Third, our weather index insurance has been in the practice stage and weather derivatives market at the exploratory stage. We summed up China's domestic weather index insurance development, shows that some areas in our country, including Shanghai, Anhui, Zhejiang, Shaanxi, and so on, have began to R&D and pilot. We have a special presentation of the index insurance contracts and pilot of Shanghai watermelon rainy season index insurance, situation of Jiangxi tangerine frost damage index insurance, and point out that with support of the World Food Programme (WFP), the World Bank and other institutions, Anhui rice planting weather index insurance to carry out the first case and Anhui wheat weather index insurance claims. Based on which Shanghai watermelon rainy index insurance, Jiangxi tangerine frost damage index insurance and Anhui rice and wheat weather index insurance practice effect are analyzed. Weather risk market in China has not been established, but China has a certain foundation, with the basic conditions for the development of weather derivatives.
Fourth, enlightenment of foreign agricultural weather risk management financial innovation practice and experience. Analysis shows that abroad have widely used weather index insurance and weather derivatives to transfer weather risks, and developed countries develop earlier on the weather index insurance design. Supported by the World Bank, the World Food Programme (WFP) and other agencies, developing countries are carrying out R&D and pilot of the weather index insurance products. Weather derivatives market in foreign countries started earlier and mature. Learning from foreign experiences, weather index insurance in China needs to strengthen development of meteorological technology, development of bancassurance mode and so on. To develop weather derivatives, we can first introduce temperature index in the six cities including Harbin, Beijing, Shanghai, Guangzhou, Wuhan and Dalian, first design temperature index weather derivatives contracts, and first develop exchange-traded, and so on.
Fifth, Hubei rice growing season rainfall index insurance contract design. Based on elaborating weather index selection criteria, the main weather variables in weather index insurance, weather index insurance claims triggered principle, as well as basis risk, rice drought index insurance contracts and rice rainstorm disasters index insurance contracts are designed in accordance with the definition of weather index insurance contracts. Selected period during the rice growing season (Hubei Province from March to October), and accumulated rainfall is the weather indicator. Specifically, selecting panel data of Xiaogan, Suizhou, Shiyan, Xiangfan City within their jurisdiction counties to design drought index insurance contracts, and panel data of Jianghan Plain area, Xianning City and its jurisdiction to design rainstorm disasters index insurance contract. Results of the model show that the cumulative precipitation has a positive and significant marginal effect on rice yield in Shiyan, Xiangfan and other arid regions, the cumulative rainfall in10%level of statistical significance, has a significant negative effect on rainstorm concentrated areas including Jianghan Plain, Xianning City and the counties and cities within their jurisdiction.
Sixth, the temperature call option contract development in Wuhan City. Based on elaborating weather derivatives related financial products, particularly, sample analysis of the call option, put option, hedging options, swaps, crashed into and knocked options, we select daily temperature data of Wuhan City from January1,1990to December31,2009, and introduce the ARMA time series model to estimate, find that basically there is no serial correlation, coefficients are very significant, and validation of the model estimation results also display the fitting effect of predicted value and the actual value is very good. Further, based on the introduction of the temperature option pricing model, we select GDDs as the underlying index of temperature option, and test the accuracy of the ARMA model, find that value of the rate of deviation and variance rate are very small, and the covariance error rate value very large, this proofs that the model has a good fitting effect. Overall, based on ARMA time series model to analyze the dynamic process of the temperature change in Wuhan City, and the empirical results confirm the model has a better goodness of fit, which could be as a basis for reasonable temperature options products pricing.
In this study, the main innovation lies in:
Firstly, analysis on financial innovation path of agricultural weather risk on risk management perspective. This paper researches on financial innovative approach of agricultural weather risk management from a risk management perspective, extends and applies financial innovation, which is the mechanism of weather risk transferring, to agricultural weather risk management, in order to provide a new path to circumvent and transfer agricultural weather risk and perfect China's agricultural weather risk management system.
Secondly, analysis of the need for agricultural weather risk management based on the meteorological data and production data. This paper uses meteorological data and relevant production data including20years in78counties of Hubei province, by comprehensive consideration of climatic factors and socio-economic factors, has an empirical analysis of the impact of weather risk on food production, explains the relationship between climate factors and agricultural production, indicating the urgent needs of agricultural weather risk management, and also provides a scientific basis for corresponding decision of the local government.
Finally, designing Hubei rice growing season rainfall index insurance contract based on panel data and FGLS estimation, and developing temperature call option based on ARMA time series model in Wuhan City. This paper uses panel data from1990to2009in78cities and counties of Hubei Province, based on the cumulative rainfall to design Hubei rice drought index insurance contract and rice rainstorm disaster index insurance contract, and uses a total of20years daily temperature data (7300) from1990to2009in Wuhan City, based on ARMA time series model to develop temperature call option contract in Wuhan City. These are different from most theoretical aspects of the research in our country, and the empirical research of this paper would improve and supplement the research in this field.
The results of this research have certain theoretical and practical significance on improving China's agricultural weather risk management system, providing effective ways for agricultural weather risk management to meet the risk management needs of China's agricultural weather, and a wealth of China's financial markets products, promoting financial engineering innovation, and improving the structure and function of China's financial markets.
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