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

  • Moschini, GianCarlo
  • Holt, Matthew

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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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
Date of revision:
Publication status: Published in Journal of Agricultural and Resource Economics 1992, vol. 17
Handle: RePEc:isu:genres:11252
Contact details of provider: 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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  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, 1989. "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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