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Registros recuperados: 58 | |
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Turvey, Calum G.; Yin, Shihong. |
This paper explores the problem of pricing an option on the cash commodity in Canadian dollars when the commodity is priced relative to a U.S. futures market. A general options pricing model is developed that separates out the value of a quantos risk and basis risk. The paper uses daily data for cattle, corn and soybeans in Ontario, and the model is employed to price the option on the cash commodity with basis risk and the option on a quantos, without basis risk. The relationship between the pricing model and over-the-counter options and market revenue insurance is also discussed. |
Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
Ano: 2002 |
URL: http://purl.umn.edu/34123 |
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Power, Gabriel J.; Turvey, Calum G.. |
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14. |
Ano: 2008 |
URL: http://purl.umn.edu/37608 |
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Turvey, Calum G.; Toole, Andrew A.; Kropp, Jaclyn D.. |
This paper examines the relationship between uncertainty and investment decisions by food and non-food firms. Using hysteresis and the real options paradigm, we review why uncertainty might cause firms to delay investment. In particular, our model looks for a negative relationship between capital invested and uncertainty. In the alternative, if the relationship is positive, this may be consistent with the exercise of growth options or competitive markets. Empirical results are mixed. In one of the four models we present there is clear evidence of hysteresis, that is a negative relationship between year over year investment and uncertainty. The remaining 3 models indicate the opposite, a positive relationship between investment and risk. Although the models... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Financial Economics. |
Ano: 2007 |
URL: http://purl.umn.edu/6606 |
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Islam, Zahirul; Hoy, Michael; Turvey, Calum G.. |
In this paper we develop a theoretical model of input supply by agricultural producers who purchase crop insurance and so who may engage in moral hazard. We show, through simulations, that a combination of partial insurance coverage combined with a minimum standard for input use may reduce substantially the problems associated with moral hazard. Partial insurance coverage creates an incentive for the producer to increase his use of inputs since the cost of lower output is partially borne by the producer, an outcome which would not be present under full coverage insurance. Partial monitoring of inputs, in the form of a minimum requirement for input use, has a direct effect on the reduction of moral hazard. We show that, rather than being substitute... |
Tipo: Working or Discussion Paper |
Palavras-chave: Risk and Uncertainty. |
Ano: 1999 |
URL: http://purl.umn.edu/34127 |
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Shee, Apurba; Turvey, Calum G.. |
This research analyzes daily commodity spot prices and designs risk contingent structured financial instruments as a means to mitigate business and financial risk by reducing debt obligations depending on the embedded commodity options whose payoffs are linked with commodity price fluctuations. Models are developed for operating loans and farm mortgages. The results show that the distributions with the embedded option have higher probability of greater returns and the embedded option with the repayment contingent on the price fluctuation reduces the downside risk of the return from the investment. |
Tipo: Journal Article |
Palavras-chave: Agricultural Finance; Risk and Uncertainty. |
Ano: 2008 |
URL: http://purl.umn.edu/48139 |
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Weersink, Alfons; Joseph, Stanley; Kay, Beverly D.; Turvey, Calum G.. |
The objective of the 1997 Kyoto agreement was to limit greenhouse gas (GHG) emissions among signatory countries and thereby slow global warming. Under the agreement, Canada has committed itself to reduce GHGs over the next decade by 6 percent from estimated 1990 levels. Debate has now begun on the appropriate government policies that will induce the desired GHG reductions. Regulations could be in the form of direct controls or economic incentives, such as a subsidy/tax system or an emission trading system. The success of the U.S. emission market for SO2 (Schmalenseeet al., 1998) has generated growing interest in the use of a similar market mechanism for carbon (Holmes and Friedman, 2000). The existence of a carbon credit market presents the agricultural... |
Tipo: Journal Article |
Palavras-chave: Agricultural and Food Policy; Farm Management. |
Ano: 2003 |
URL: http://purl.umn.edu/45728 |
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Pa, Chung; Turvey, Calum G.; Meilke, Karl D.. |
This paper developes a multiperiod model in which hedge adjustments are allowed. The two major marketing alternatives specified in the model are to sell in the spot market or to forward contract using formula pricing. To proxy the underlying forward contract value, the American put call parity (APCP) technique is used. The conceptual framework considers a mean-variance utility function that is maximized sequentially to obtain optimal forward contract and hedge ratios. The closed loop solution guides the dymanic flow of information between decision stages via three essential features: sequential dependence, feedback, and anticipated revision. The empirical model considers a multivariate ARMA-GARCH framework that estimates the time series of A{CP values,... |
Tipo: Working Paper |
Palavras-chave: Closed loop solution; American put-call parity; MGARCH; Multiperiod hedging; Agricultural Finance. |
Ano: 2002 |
URL: http://purl.umn.edu/123572 |
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Onyango, Benjamin M.; Turvey, Calum G.; Hallman, William K.. |
This study uses results from marginal effects estimates across the foods and points of the food chain to rank the foods and food chain points in order of intensity of likelihood of a terrorist attack. The results show that young people, low incomers (<$35,000), those with medium to low knowledge about food chain and food safety, those skeptical about grocery abilities on food safety, and those with low education were likely to feel that certain foods are more likely to view likelihood of terrorist attacks possible. The results underscores the importance of consumer concerns about terrorist threats at the farm level, processing, grocery stores, or food transport calling for measures to secure such foods or segments of the food chain by all concerned.... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Food Consumption/Nutrition/Food Safety. |
Ano: 2005 |
URL: http://purl.umn.edu/19535 |
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Jin, Yufei; Turvey, Calum G.. |
The purpose of this paper is to develop a general approach to valuing commodity-linked bonds (CLBs) based on the Heath-Jarrow-Morton (HJM) framework. The model deals with four dimensions of uncertainty: prices of the underlying commodity, the value of firm that issues bonds, interest rates, and convenience yields. A mathematical formula for the price of a commodity-linked bond is derived. The previous results in Black and Scholes (1973), Merton (1973), Schwartz (1982), and Atta-Mensah (1992) can be obtained by specifying appropriate restrictions in the general model. Using similar assumptions, as found in Miura and Yamauchi (1998) and Carr (1987), more reasonable results can be obtained through the application of the present model. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Financial Economics. |
Ano: 2004 |
URL: http://purl.umn.edu/20039 |
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Turvey, Calum G.; Power, Gabriel J.. |
This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted. The analyses are conducted under the null hypothesis of ordinary Brownian motion against the alternative of persistent or ergodic fractional Brownian motion. Tests for fractional Brownian motion are based on a variance ratio test. However, standard errors based on Monte Carlo simulations are quite high, meaning that the acceptance region for the null hypothesis is large. The results indicate that for the most part, the null hypothesis of ordinary Brownian motion cannot be rejected for 14 of 17 series.... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
Ano: 2006 |
URL: http://purl.umn.edu/21239 |
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Registros recuperados: 58 | |
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