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Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States

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  • Moschini, GianCarlo
  • Holt, Matthew

Abstract

The role of price risk in sow farrowings is investigated by using bivariate ARCH-M and GARCH-M models and a nonparametric kernel estimator. To account for the relevant time horizon of irreversible supply decisions, predictions for mean price and conditional price variance are iterated forward. The empirical results vary markedly in terms of their implications for risk response in hog supply decisions, with the ARCH-M and GARCH-M models suggesting a small and negative risk effect. Estimates of the marginal risk premium also indicate moderate and variable departures from marginal cost pricing in sow farrowing supply decisions.

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Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 11252.

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Date of creation: 01 Jan 1992
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Publication status: Published in Journal of Agricultural and Resource Economics 1992, vol. 17
Handle: RePEc:isu:genres:11252

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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
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Web page: http://www.econ.iastate.edu
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References

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  1. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
  2. Aman Ullah, 1988. "Non-parametric Estimation of Econometric Functionals," Canadian Journal of Economics, Canadian Economics Association, vol. 21(3), pages 625-58, August.
  3. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
  4. Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers 276, Iowa State University, Department of Economics.
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Cited by:
  1. Mathews, Kenneth H., Jr. & Short, Sara D., 2001. "The Beef Cow Replacement Decision," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 19(2).
  2. Arnade, Carlos A. & Cooper, Joseph C., 2012. "Acreage Response under Varying Risk Preferences," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(3), December.
  3. Holt, Matthew T., 1994. "Price-Band Stabilization Programs And Risk: An Application To The U.S. Corn Market," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 19(02), December.
  4. Rezitis, Anthony N. & Stavropoulos, Konstantinos S., 2010. "Modeling beef supply response and price volatility under CAP reforms: The case of Greece," Food Policy, Elsevier, vol. 35(2), pages 163-174, April.
  5. Bard, Sharon K. & Barry, Peter J., 2001. "Assessing Farmers' Attitudes Toward Risk Using The "Closing-In" Method," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 26(01), July.
  6. Haigh, Michael S. & Bryant, Henry L., 2001. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, Blackwell, vol. 25(1), pages 41-58, June.
  7. Ward, Patrick S. & Singh, Vartika, 2014. "Risk and ambiguity preferences and the adoption of new agricultural technologies: Evidence from field experiments in rural India:," IFPRI discussion papers 1324, International Food Policy Research Institute (IFPRI).
  8. Jeffrey LaFrance & Rulon Pope & Richard Just, 2008. "Agricultural Arbitrage and Risk Preferences," Working Papers 2009-01, School of Economic Sciences, Washington State University.
  9. Rude, James & Surry, Yves, 2013. "Canadian Hog Supply Respose: A Provincial Level Analysis," Working Papers 148590, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  10. Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  11. Mbaga, Msafiri Daudi & Coyle, Barry T., 2003. "Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(03), December.
  12. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.
  13. Bullock, David S. & Garcia, Philip & Shin, Kie-Yup, 2005. "Measuring producer welfare under output price uncertainty and risk non-neutrality," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(1), March.
  14. Ward, Patrick S. & Singh, Vartika, 2013. "Risk and Ambiguity Preferences and the Adoption of New Agricultural Technologies: Evidence from Field Experiments in Rural India," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150794, Agricultural and Applied Economics Association.
  15. Holt, Matthew T. & Aradhyula, Satheesh V., 1998. "Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 99-129, June.

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