Empirical Analysis under Additive/Multiplicitave Output Uncertainty
Empirical studies dealing with price uncertainty are abundant; for example, Arshanapalli and Gupta (1996) derived estimating equations by applying uncertainty analogues of Hotelling's lemma and Roy's identity to the indirect expected utility function (see Pope, 1980, and, Dalal 1990). However, their method is not applicable to the models with price and output uncertainty. Few empirical studies included both price and output uncertainty and focused on hedging. For example, Rolfo (1980) computed the ratio of hedge to expected output for cocoa producers. Lapan and Moschini (1994) calculated the same ratio for soya bean farmers. Assuming simultaneous price and output uncertainty, this paper empirically estimate the most two common forms of output risk: additive risk and multiplicative risk (see Honda,1983, and, Grant 1985). Then it empirically determines which form is more suitable. The theory does not provide a conclusive criteria for the choice between additive risk and multiplicative risk (see Honda,1983). Therefore, the choice should be empirical.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||15 Oct 2003|
|Date of revision:|
|Contact details of provider:|| Postal: School of Economics and Finance, University of St. Andrews, Fife KY16 9AL|
Phone: 01334 462420
Fax: 01334 462444
Web page: http://www.st-andrews.ac.uk/economics/
More information through EDIRC
|Order Information:|| Email: |
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.:
- Harvey Lapan & Giancarlo Moschini, 1994.
"Futures Hedging Under Price, Basis, and Production Risk,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 76(3), pages 465-477.
- Lapan, Harvey E. & Moschini, GianCarlo, 1994. "Futures Hedging Under Price, Basis and Production Risk," Staff General Research Papers 10041, Iowa State University, Department of Economics.
- Satyanarayan, Sudhakar, 1999. "Econometric tests of firm decision making under dual sources of uncertainty," Journal of Economics and Business, Elsevier, vol. 51(4), pages 315-325, July.
- Honda, Yuzo, 1983. "Production uncertainty and the input decision of the competitive firm facing the futures market," Economics Letters, Elsevier, vol. 11(1-2), pages 87-92.
- Viaene, Jean-Marie & Zilcha, Itzhak, 1998. "The Behavior of Competitive Exporting Firms under Multiple Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 591-609, August.
- Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February.
- 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.
- Losq, Etienne, 1982. "Hedging with price and output uncertainty," Economics Letters, Elsevier, vol. 10(1-2), pages 65-70.
- Dalal, Ardeshir, 1990. "Symmetry Restrictions in the Analysis of the Competitive Firm under Price Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(1), pages 207-11, February.
- Pope, Rulon D, 1980. "The Generalized Envelope Theorem and Price Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 75-86, February.
- Arshanapalli, Bala G. & Gupta, Omprakash K., 1996. "Optimal hedging under output price uncertainty," European Journal of Operational Research, Elsevier, vol. 95(3), pages 522-536, December.
When requesting a correction, please mention this item's handle: RePEc:san:wpecon:0301. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (the School of Economics)
If references are entirely missing, you can add them using this form.