This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Agricultural Arbitrage and Risk Preferences

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jeffrey LaFrance
Rulon Pope
Richard Just () (School of Economic Sciences, Washington State University)

Additional information is available for the following registered author(s):

Abstract

A structural inter-temporal model of agricultural asset arbitrage equilibrium is developed and applied to agriculture in the North-Central region of the U.S. The data is consistent with a unifying level of risk aversion. The levels of risk aversion are more plausible than previous estimates for agriculture. However, the standard arbitrage equilibrium is rejected; perhaps this is due to the period and the shortness of the period studied.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ses.wsu.edu/PDFFiles/WorkingPapers/LaFrance/WP2009-01-PLJ-AARP.pdf
File Format: application/pdf
File Function: First version, 2008
Download Restriction: no

Publisher Info
Paper provided by School of Economic Sciences, Washington State University in its series Working Papers with number 2009-01.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 38 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:wsu:wpaper:lafrance-3

Contact details of provider:
Postal: PO Box 646210, Pullman, WA 99164-646210
Phone: 509-335-5555
Fax: 509-335-1173
Web page: http://www.ses.wsu.edu/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Danielle Engelhardt).

Related research
Keywords: arbitrage; risk aversion; agriculture;

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Q12 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Micro Analysis of Farm Firms, Farm Households, and Farm Input Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December. [Downloadable!] (restricted)
  2. Satheesh V. Aradhyula & Matthew T. Holt, 1988. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Center for Agricultural and Rural Development (CARD) Publications 88-wp33, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
    Other versions:
  3. Moschini, Giancarlo & Holt, M., 2004. "Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States," Staff General Research Papers 11252, Iowa State University, Department of Economics.
    Other versions:
  4. Kreps, David M & Porteus, Evan L, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Econometrica, Econometric Society, vol. 46(1), pages 185-200, January. [Downloadable!] (restricted)
  5. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February. [Downloadable!] (restricted)
  6. Matthew Rabin., 2000. "Diminishing Marginal Utility of Wealth Cannot Explain Risk Aversion," Economics Working Papers E00-287, University of California at Berkeley. [Downloadable!]
  7. David R. Just & Hikaru Hanawa Peterson, 2003. "Diminishing Marginal Utility of Wealth and Calibration of Risk in Agriculture," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 85(5), pages 1234-1241, December. [Downloadable!] (restricted)
  8. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March. [Downloadable!] (restricted)
  9. Laibson, David, 1997. "Golden Eggs and Hyperbolic Discounting," The Quarterly Journal of Economics, MIT Press, vol. 112(2), pages 443-77, May.
  10. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April. [Downloadable!] (restricted)
  11. Chavas, Jean-Paul & Holt, Matthew T, 1996. "Economic Behavior under Uncertainty: A Joint Analysis of Risk Preferences and Technology," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 329-35, May. [Downloadable!] (restricted)
  12. Siegel, Jeremy J & Thaler, Richard H, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter. [Downloadable!] (restricted)
  13. 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. [Downloadable!] (restricted)
  14. Matthew Rabin, 2000. "Diminishing Marginal Utility of Wealth Cannot Explain Risk Aversion," Department of Economics, Working Paper Series 1025, Department of Economics, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  15. Saha, Atanu & Innes, Robert & Pope, Rulon, 1993. "Production and savings under uncertainty," International Review of Economics & Finance, Elsevier, vol. 2(4), pages 365-375. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2009-11-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.