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| Registros recuperados: 32 | |
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| Mallory, Mindy L.; Lence, Sergio H.. |
| This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration statistics is sensitive to the NMA parameters and that using the stated 5% critical values results in severe size distortion. In our experiment, using the asymptotic critical values resulted in empirical size of 76% in the worst case. To date a NMA in the error term was known to cause poor small sample performance of the Johansen cointegration statistics; however our study demonstrates that problems associated with a NMA in the error term do not improve as sample... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cointegration; Johansen cointegration test; Moving average; Agricultural Finance; Financial Economics; C32; C15. |
| Ano: 2010 |
URL: http://purl.umn.edu/61721 |
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| Lence, Sergio H.. |
| The present study sets up a thought experiment calibrated to represent risks of a high-risk production activity (farming), and investigating whether the structure of risk aversion (i.e., the changes in absolute or relative risk aversion associated with changes in wealth) can be estimated with reasonable precision. Findings strongly suggest that typical production data are unlikely to allow identification of the structure of risk aversion. A flexible utility parameterization is found to worsen technology parameter estimates. Findings also indicate that even under a restricted utility specification, the quality of utility parameters estimated from small samples is very poor. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Expected utility; Risk preferences; Production analysis; Risk attitudes.; Risk and Uncertainty; C13; D24; D81; Q12.. |
| Ano: 2007 |
URL: http://purl.umn.edu/9980 |
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| Lence, Sergio H.; Hayes, Dermot J.; McCunn, Alan; Smith, Stephen C.; Niebur, Bill. |
| The paper examines the welfare impact of different intellectual property right (IPR) regimes in private sector seed research. The model takes into account the period after expiration of IPR protection, and requires a simultaneous equilibrium in the markets for R&D, seeds, and final product (grain). Simulation results show that with the exception of R&D productivity, the optimal level of IPR protection is remarkably insensitive to parameters of the model. There is a range of IPR appropriability levels where the interests of consumers and producers (taken together) are complementary to the interests of R&D firms, and another range of appropriability levels where the welfare of producers and consumers can be increased only at the expense of the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2003 |
URL: http://purl.umn.edu/22187 |
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| Miranowski, John A.; Moschini, GianCarlo; Babcock, Bruce A.; Duffy, Michael D.; Wisner, Robert N.; Beghin, John C.; Hayes, Dermot J.; Lence, Sergio H.; Baumel, C. Phillip; Harl, Neil E.. |
| Genetically modified organisms (GMO) crops have become increasingly popular with Iowa farmers over the past few years. The current genetic modifications are focused on pest management technologies. Although there were early efforts by environmental activists to disrupt the adoption of GMO technology, few concerns were raised by U.S. food retailers and consumers. The primary concern was getting European Union (EU) regulatory approval for each GMO crop variety event as late as spring 1999. The situation has changed dramatically in the last few months, and the current situation is highly uncertain. This paper provides the economic perspective on the issues surrounding non-GMO/GMO market segregation, the potential price impacts that may materialize with... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing; Research and Development/Tech Change/Emerging Technologies. |
| Ano: 1999 |
URL: http://purl.umn.edu/18232 |
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| Lence, Sergio H.; Agarwal, Sanjeev. |
| Demand in the marketplace for foods with "natural" attributes, such as organic produce, continues to grow. Similarly, interest has developed in creating a technology that allows "physical" rather than chemical refinement of soybean oil to create a "natural" soy oil product. The physical refinement of non-genetically modified (non-GM) soybeans greatly strengthens the marketing claim to natural properties for that product. The oil derived in this manner, designated here as "niche soy oil," and its related inputs (non-GM soybeans) and by-products (high-energy non-GM soy meal) are the objects of our analysis. We find premiums of $0.03 to $0.43 per pound for niche soy oil compared to commodity soy oil. However, our price analysis suggests that only... |
| Tipo: Working or Discussion Paper |
Palavras-chave: High-energy non-GM soy meal; Natural soy oil; Niche soy oil; Non-genetically modified soybeans; Marketing; Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/18685 |
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| Lence, Sergio H.. |
| Simulations are used to quantify the effects of making a futures market available on adopting farmer's behavior and welfare, and on market variables (e.g., spot prices). Explicitly modeled are aggregate market effects associated with futures' adoption by many farmers, and relevant constraints (e.g., credit restrictions) often faced by commodity producers. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/19768 |
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| Lence, Sergio H.. |
| A thought experiment is designed to investigate whether the structure of risk aversion (i.e., the changes in absolute or relative risk aversion associated with changes in wealth) can be estimated with reasonable precision from agricultural production data. Findings strongly suggest that typical production data are unlikely to allow identification of the structure of risk aversion. A flexible utility parameterization is found to slightly worsen technology parameter estimates. Results also indicate that even under a restricted utility specification, utility parameter estimates are biased. Further, their quality is much worse when shocks are not large or samples are small. |
| Tipo: Presentation |
Palavras-chave: Expected utility; Risk preferences; Production analysis; Risk attitudes; Production Economics; Risk and Uncertainty; C13; D24; D81; Q12. |
| Ano: 2008 |
URL: http://purl.umn.edu/119534 |
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| Lence, Sergio H.. |
| The present study advocates a simulation approach to analyze quantitatively the impact of having locally-based markets for price derivatives. A major result is that market outcomes do not appear to be sensitive to most of the underlying parameters of the model other than demand elasticity and transportation costs. For the case of inelastic demand, introduction of a futures market in a country provides domestic producers with a competitive edge if transportation costs. The most important insight of the present analysis is that, under realistic scenarios it need not be the case that local producers will gain a competitive edge over foreign producers by introducing a futures market based on the local spot prices. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commodity markets; Derivative markets; Futures markets; Welfare analysis; Rational expectations; Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20371 |
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| Lence, Sergio H.; Hayes, Dermot J.. |
| A dynamic three-commodity rational-expectations storage model is used to compare the impact of the Federal Agricultural Improvement and Reform (FAIR) Act of 1996 with a free-market policy, and with the agricultural policies that preceded the FAIR Act. Results support the hypothesis that the changes enacted by FAIR did not lead to permanent significant increases in the volatility of farm prices or revenues. An important finding is that the main economic impacts of the pre-FAIR scenario, relative to the free-market regime, were to transfer income to farmers and to substitute government storage for private storage in a way that did little to support prices or to stabilize farm incomes. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: FAIR Act; Price volatility; Storage; Agricultural and Food Policy. |
| Ano: 2000 |
URL: http://purl.umn.edu/18937 |
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| Registros recuperados: 32 | |
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