Econ Papers Daily / 期刊论文
评估巴西肉牛养殖利润保险中的基差风险
Assessing Basis Risk in Margin Insurance for Beef Cattle Farming in Brazil
摘要
Price volatility in agricultural markets directly affects the financial viability of rural producers, particularly in sectors characterized by narrow profit margins and long production cycles, such as beef cattle production. Futures contracts and agricultural insurance are commonly used to mitigate this risk; however, both instruments are exposed to basis risk, which arises from the divergences between futures and spot prices. This article has two objectives: to estimate the basis risk of futures contracts for fed cattle, feeder cattle, and corn, and to assess the basis risk associated with designing a gross margin insurance product adapted to the Brazilian context. The results show that basis risk for fed cattle and corn contracts was lower in São Paulo (7.51% and 4.85%, respectively) than in Mato Grosso do Sul (11.34% and 5.79%). Using state‐level prices as a proxy for feeder cattle futures reduced basis risk in both states, although the São Paulo proxy exhibited higher relative basis risk. The basis risk of the gross margin insurance product was estimated at 31.23% in São Paulo and 32.39% in Mato Grosso do Sul. These findings indicate that incorporating regional price differentials into margin insurance valuation is an effective policy strategy to reduce basis risk, allowing insured margins to better reflect local market conditions without introducing new futures contracts.
中文摘要
农产品市场价格波动直接影响农村生产者的财务可持续性，尤其在利润率低、生产周期长的行业（如肉牛养殖）中表现显著。期货合约和农业保险常被用于缓解此类风险，但两者均面临基差风险——即期货价格与现货价格之间的偏差。本文旨在实现两个目标：估算育肥牛、架子牛和玉米期货合约的基差风险，并评估适用于巴西背景的总利润保险产品设计中的基差风险。结果表明，圣保罗州育肥牛和玉米期货合约的基差风险（分别为7.51%和4.85%）低于南马托格罗索州（分别为11.34%和5.79%）。以州级价格作为架子牛期货的代理变量降低了两个州的基差风险，但圣保罗州的代理变量表现出更高的相对基差风险。总利润保险产品的基差风险在圣保罗州为31.23%，在南马托格罗索州为32.39%。这些发现表明，将区域价格差异纳入利润保险估值是降低基差风险的有效政策策略，可在不引入新期货合约的情况下，使保险利润更准确地反映当地市场条件。