Farmers face risks. Indeed, agriculture is a risky business, and nowadays this is mainly due to the persisting price volatility and uncertain events (i.e., weather and climate adverse events, the COVID-19 pandemic) causing both price and production risks. As a consequence, the income risk affects farmers resilience in the long run. Numerous risk management strategies are available for handling price risk (i.e., farms' self-coping strategies, subsidized and non-subsidized instruments as insurance, mutual funds, derivatives, etc.). Among these, hedging with agricultural contracts (forward and futures contracts) shows a limited adoption rate by farmers. This thesis aims at evaluating the feasibility of hedging with international futures markets for farmers, and the measure of the effectiveness of these market instruments in reducing farmers’ income volatility. Moreover, another research objective of this thesis is the understanding of the determinants of farmers' adoption of agricultural contracts to manage price risk at the farm level. The broader objective lies in the provision of insights that are instrumental to the development of such promising risk management tools among both European and Italian farmers. Indeed, the most recent reforms of the Common Agricultural Policy led to reducing farmers' income support; hence studying new strategies for protecting farmers’ income is of paramount importance. This thesis is a collection of four papers and consists of an introduction, followed by four chapters (papers) and the conclusions. Accordingly, each paper is presented in a separate chapter, and hence the chapters are self-contained and may be read individually. Chapters 2 presents the study of price transmission between futures and spot prices. This examines the degree of transmission for the corn commodity between global futures price in either the Chicago Board of Trade (CBOT) or Euronext and the spot prices for a selection of the Member States of the European Union. Indeed, given the volatility characterizing agricultural commodity prices and the decreasing level of income support granted by the Common Agricultural Policy, the development of new market strategies is of the utmost importance for European farmers. Similarly, in Chapter 3, the relationship between the CBOT and Euronext futures prices and the spot prices for the Italian agricultural markets of soybean, corn, and milling wheat is examined. The chapter presents the results of a symmetric and asymmetric vector error correction model (VECM), confirming the presence of a non-linear cointegration relationship for all the agricultural commodity prices. Chapter 4 presents the analysis of the hedging effectiveness in reducing Italian farmers’ income volatility through CBOT and Euronext futures contracts. The analysis focused on soybean, corn, and milling wheat prices. Different hedging horizons are considered for the estimation of the hedge portfolio then compared to an unhedged portfolio for assessing the granted price risk reduction. Chapter 5 analyses farmers’ characteristics influencing the adoption of marketing contracts within an innovation adoption framework, given the scarce adoption of marketing contracts among farmers. As before mentioned, the thesis ends with some main conclusions.
L’agricoltura è una attività rischiosa. Oggigiorno ciò è principalmente dovuto alla persistente volatilità dei prezzi ed agli eventi incerti (ad esempio eventi avversi meteorologici e climatici, la pandemia di COVID-19) che causano rischi sia di prezzo che di produzione. Il rischio di reddito incide sulla resilienza degli agricoltori nel lungo periodo. Gli agricoltori Europei hanno a loro disposizione numerose strategie di gestione del rischio di prezzo (es. strategie di auto-coping delle aziende agricole, strumenti sovvenzionati e non sovvenzionati come assicurazioni, fondi comuni di investimento, derivati, ecc.). Fra tutti, la gestione del rischio tramite contratti agricoli (contratti forward e futures) mostra un limitato tasso di adozione a livello Europeo ed Italiano. Nel contesto dell’agricoltura Europea ed Italiana, questa Tesi mira a valutare la fattibilità delle strategie di hedging con contratti futures e la misura dell'efficacia nel ridurre la volatilità dei redditi degli agricoltori. Inoltre, un altro obiettivo di ricerca di questa tesi è la comprensione di quali attributi influenzano l'adozione dei contratti per la gestione del rischio di prezzo a livello aziendale. L'obiettivo più ampio risiede nella fornitura di approfondimenti che sono strumentali allo sviluppo di strumenti di gestione del rischio promettenti tra gli agricoltori Europei e Italiani. Le più recenti riforme della Politica Agricola Comune, infatti, hanno portato a ridurre il sostegno al reddito degli agricoltori; pertanto, è di fondamentale importanza studiare nuove strategie per la tutela del reddito degli agricoltori. La presente tesi è strutturata in quattro articoli scientifici, presentando le problematiche generali nell’introduzione, sviluppandosi in quattro capitoli (articoli scientifici) e traendo delle conclusioni finali alla luce di quanto emerso da questa ricerca. Il capitolo 2 presenta lo studio della trasmissione dei prezzi tra i contratti futures e i prezzi spot. Nel contesto del mercato maidicolo, il capitolo esamina il grado di trasmissione tra il prezzo dei contratti futures quotati nel Chicago Board of Trade e nell’Euronext, e tra i prezzi spot di una selezione di Stati Membri dell'Unione Europea. Analogamente, nel Capitolo 3, viene esaminata la relazione tra i prezzi dei contratti futures quotati nel CBOT ed Euronext ei prezzi spot per i mercati agricoli italiani della soia, del mais e del grano macinato. Il capitolo presenta i risultati dell’analisi di trasmissione simmetrica e asimmetrica dei prezzi, confermando la presenza di una relazione di cointegrazione non lineare per le materie prime agricole considerate. Il capitolo 4 presenta l'analisi dell'efficacia della copertura del rischio di prezzo tramite contratti futures nel ridurre la volatilità del reddito degli agricoltori italiani. L'analisi considera i prezzi dei contratti futures quotati nel CBOT e nell’Euronext e per soia, mais e grano tenero. Attraverso il confronto di un portafoglio con e senza strumenti di hedging, è stata valutata la riduzione del rischio di prezzo connessa con l’utilizzo di questi strumenti. In fine, il capitolo 5, sviluppando un framework di analisi per l’adozione di innovazioni, analizza quali caratteristiche influenzano l'adozione dei contratti da parte degli agricoltori.
Copertura del rischio di prezzo delle commodities agricole: fattibilità, efficacia e comportamento degli agricoltori / Penone, Carlotta. - (2022 May 06).
Copertura del rischio di prezzo delle commodities agricole: fattibilità, efficacia e comportamento degli agricoltori.
PENONE, CARLOTTA
2022
Abstract
Farmers face risks. Indeed, agriculture is a risky business, and nowadays this is mainly due to the persisting price volatility and uncertain events (i.e., weather and climate adverse events, the COVID-19 pandemic) causing both price and production risks. As a consequence, the income risk affects farmers resilience in the long run. Numerous risk management strategies are available for handling price risk (i.e., farms' self-coping strategies, subsidized and non-subsidized instruments as insurance, mutual funds, derivatives, etc.). Among these, hedging with agricultural contracts (forward and futures contracts) shows a limited adoption rate by farmers. This thesis aims at evaluating the feasibility of hedging with international futures markets for farmers, and the measure of the effectiveness of these market instruments in reducing farmers’ income volatility. Moreover, another research objective of this thesis is the understanding of the determinants of farmers' adoption of agricultural contracts to manage price risk at the farm level. The broader objective lies in the provision of insights that are instrumental to the development of such promising risk management tools among both European and Italian farmers. Indeed, the most recent reforms of the Common Agricultural Policy led to reducing farmers' income support; hence studying new strategies for protecting farmers’ income is of paramount importance. This thesis is a collection of four papers and consists of an introduction, followed by four chapters (papers) and the conclusions. Accordingly, each paper is presented in a separate chapter, and hence the chapters are self-contained and may be read individually. Chapters 2 presents the study of price transmission between futures and spot prices. This examines the degree of transmission for the corn commodity between global futures price in either the Chicago Board of Trade (CBOT) or Euronext and the spot prices for a selection of the Member States of the European Union. Indeed, given the volatility characterizing agricultural commodity prices and the decreasing level of income support granted by the Common Agricultural Policy, the development of new market strategies is of the utmost importance for European farmers. Similarly, in Chapter 3, the relationship between the CBOT and Euronext futures prices and the spot prices for the Italian agricultural markets of soybean, corn, and milling wheat is examined. The chapter presents the results of a symmetric and asymmetric vector error correction model (VECM), confirming the presence of a non-linear cointegration relationship for all the agricultural commodity prices. Chapter 4 presents the analysis of the hedging effectiveness in reducing Italian farmers’ income volatility through CBOT and Euronext futures contracts. The analysis focused on soybean, corn, and milling wheat prices. Different hedging horizons are considered for the estimation of the hedge portfolio then compared to an unhedged portfolio for assessing the granted price risk reduction. Chapter 5 analyses farmers’ characteristics influencing the adoption of marketing contracts within an innovation adoption framework, given the scarce adoption of marketing contracts among farmers. As before mentioned, the thesis ends with some main conclusions.File | Dimensione | Formato | |
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