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Agricultural Arbitrage and Risk Preferences

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  • Pope, Rulon D.
  • LaFrance, Jeffrey T
  • Just, Richard E.

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 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.

Suggested Citation

  • Pope, Rulon D. & LaFrance, Jeffrey T & Just, Richard E., 2007. "Agricultural Arbitrage and Risk Preferences," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt3tw1m1p0, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt3tw1m1p0
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    8. Zhao, Xin & Brady, Michael P. & Tozer, Peter R., 2015. "Do Farmers Really Plant Apples for Their Income and Cherries for Their Retirement? The Effects of Risk, Scope and Scale on Orchard Land Allocation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205663, Agricultural and Applied Economics Association.
    9. Gohin, Alexandre & Zheng, Yu, 2020. "Reforming the European Common Agricultural Policy: From price & income support to risk management," Journal of Policy Modeling, Elsevier, vol. 42(3), pages 712-727.
    10. Hiroshi Nakamura & Naohiko Wakutsu, 2019. "Reducing pharmaceutical reimbursement price risk to lower national health expenditures without lowering R&D incentives," International Journal of Economic Policy Studies, Springer, vol. 13(1), pages 75-88, January.
    11. Benjamin Dequiedt & Emmanuel Servonnat, 2016. "Risk as a limit or an opportunity to mitigate GHG emissions? The case of fertilisation in agriculture," Working Papers 1606, Chaire Economie du climat.
    12. Cao, Ruixuan & Carpentier, Alain & Gohin, Alexandre, 2011. "Measuring farmers’ risk aversion: the unknown properties of the value function," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114623, European Association of Agricultural Economists.
    13. Nauges, Celine & Wheeler, Sarah Ann & Zuo, Alec, 2016. "Elicitation of irrigators’ risk preferences from observed behaviour," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(3), July.
    14. Voica, Daniel C., 2017. "The Effect of the Single Farm Payment Timing on Production Incentives," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258024, Agricultural and Applied Economics Association.
    15. Zuo, Alec & Nauges, Celine & Wheeler, Sarah, 2012. "Water trading as a risk-management tool for farmers: new empirical evidence from the Australian water market," Risk and Sustainable Management Group Working Papers 149885, University of Queensland, School of Economics.
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    17. Alexandre Gohin, 2019. "General Equilibrium Modelling of the Insurance Industry: U.S. Crop Insurance," Journal of Global Economic Analysis, Center for Global Trade Analysis, Department of Agricultural Economics, Purdue University, vol. 4(2), pages 108-145, December.

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    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

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