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Risk And Returns Of Diversified Cropping Systems Under Nonnormal, Cross-, And Autocorrelated Commodity Price Structures

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  • Ramirez, Octavio A.
  • Somarriba, Eduardo
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    Abstract

    This study analyzes the risks of diversified tropical cropping systems that combine cocoa, plantain, and tree-crop components in different proportions versus traditional monocultures. A technique for modeling the expected values, variances, and covariances of correlated time-series variables that are autocorrelated and nonnormal (right or left skewed and kurtotic) is applied to simulate commodity prices. The importance of using simulated cumulative density functions (cdf's) which reflect the most important characteristics of the stochastic behavior of prices for analyzing risk and returns of diversified agricultural systems is demonstrated. The analysis priovides evidence in favor of diversified cocoa-plantain-Cordia agroforestry system technologies versus the traditional monocultures.

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    File URL: http://purl.umn.edu/30901
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    Bibliographic Info

    Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

    Volume (Year): 25 (2000)
    Issue (Month): 02 (December)
    Pages:

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    Handle: RePEc:ags:jlaare:30901

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    Web page: http://waeaonline.org/
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    Related research

    Keywords: Demand and Price Analysis;

    References

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    1. McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
    2. Anderson, Jock R., 1974. "Simulation: Methodology and Application in Agricultural Economics," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 42(01), March.
    3. Octavio A. Ram�rez, 1997. "Estimation and Use of a Multivariate Parametric Model for Simulating Heteroskedastic, Correlated, Nonnormal Random Variables: The Case of Corn Belt Corn, Soybean, and Wheat Yields," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 191-205.
    4. Ramirez, Octavio A. & Sosa, Romeo, 2000. "Assessing The Financial Risks Of Diversified Coffee Production Systems: An Alternative Nonnormal Cdf Estimation Approach," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 25(01), July.
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    Cited by:
    1. Fleming, Euan & Milne, Mary, 2003. "Bioeconomic modelling of the production and export of cocoa for price policy analysis in Papua New Guinea," Agricultural Systems, Elsevier, vol. 76(2), pages 483-505, May.
    2. Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004. "Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(02), August.

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