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Agricultural arbitrage and risk preferences

  • Pope, Rulon D.
  • LaFrance, Jeffrey T.


    (University of California, Berkeley. Dept of agricultural and resource economics and policy)

  • Just, Richard E

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 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.

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Paper provided by University of California at Berkeley, Department of Agricultural and Resource Economics and Policy in its series CUDARE Working Paper Series with number 1041.

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Length: 35 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:are:cudare:1041
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Order Information: Postal: University of California, Giannini Foundation of Agricultural Economics Library, 248 Giannini Hall #3310, Berkeley CA 94720-3310

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  10. Atanu Saha & C. Richard Shumway & Hovav Talpaz, 1994. "Joint Estimation of Risk Preference Structure and Technology Using Expo-Power Utility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(2), pages 173-184.
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  12. Meyer, Donald J. & Meyer, Jack, 2006. "Measuring Risk Aversion," Foundations and Trends(R) in Microeconomics, now publishers, vol. 2(2), pages 107-203, September.
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  15. Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter.
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  21. Lence, Sergio H., 2000. "Using Consumption and Asset Return Data to Estimate Farmersï¾’ Time Preferences and Risk Attitudes," Staff General Research Papers 1930, Iowa State University, Department of Economics.
  22. Saha, Atanu & Innes, Robert & Pope, Rulon, 1993. "Production and savings under uncertainty," International Review of Economics & Finance, Elsevier, vol. 2(4), pages 365-375.
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  24. William Lin & G. W. Dean & C. V. Moore, 1974. "An Empirical Test of Utility vs. Profit Maximization in Agricultural Production," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(3), pages 497-508.
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  27. William Lin & Robert Dismukes, 2007. "Supply Response under Risk: Implications for Counter-Cyclical Payments' Production Impact," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 29(1), pages 64-86.
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