Instrumentos financieros derivados del clima como herramienta de cobertura en la industria bananera del Urabá antioqueño

Abstract

Along the same lines as the market fluctuations of the interest rate and the volatility of other financial assets, the climatic conditions affect incomes, generating uncertainty for the banana industry in Colombia, as well as changes in temperature and the rainfall levels affect directly the level of the offer's response, and the demand pattern changes due to climatic fluctuations for the import countries with seasons. As a result, climate derivatives could play an important role in risk management systems in this sector. The Colombian financial market does not offer derivatives products that allow the agents to mitigate the impact of climatic fluctuations on production volume and prices. In this context, this work is oriented to introduce weather derivatives, based on climatic indexes available in the Chicago Mercantile Exchange, as possible instruments to mitigate the financial risk in the banana sector of Urabá in the department of Antioquia, so that they can be replicated as hedging strategies in other agricultural segments. This work studies the relationship between the quantities and export prices of fruit with the indexes available on the Chicago Mercantile Exchange using a process of autoregressive vector with exogenous variable (VARX). In addition, we are showing that these indices could be considered to build the risk mitigation portfolios for the agents.