Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States
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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|Date of creation:||01 Jan 1992|
|Date of revision:|
|Publication status:||Published in Journal of Agricultural and Resource Economics 1992, vol. 17|
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"Alternative Models For Conditional Stock Volatility,"
89-02, Rochester, Business - General.
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Journal of Econometrics,
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- 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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