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| Registros recuperados: 31 | |
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| Moschini, GianCarlo; Myers, Robert J.. |
| We develop a new multivariate GARCH parameterization that is suitable for testing the hypothesis that the optimal futures hedge ratio is constant over time, given that the joint distribution of cash and futures prices is characterized by autoregressive conditional heteroskedasticity. The advantage of the new parameterization is that it allows for a flexible form of time-varying volatility, even under the null of a constant hedge ratio. The model is estimated using weekly corn prices. Statistical tests reject the null hypothesis of a constant hedge ratio and also reject the null that time variation in optimal hedge ratios can be explained solely by deterministic seasonality and time-to-maturity effects. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Autoregressive conditional heteroskedasticity; Futures; Hedging; Marketing. |
| Ano: 2001 |
URL: http://purl.umn.edu/18516 |
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| Myers, Robert J.; Liu, Yanyan; Hanson, Steven D.. |
| We argue that existing agricultural insurance valuation models are limited either because they are not complete equilibrium models that price the non-diversifiable risk involved in issuing insurance contracts, or they assume complete markets which appears at odds with most applications of agricultural insurance. We also propose two new incomplete market models and derive an insurance valuation formula for each under the assumption of constant relative risk aversion preferences and lognormally distributed random variables. The two models differ in the way they treat trade in insurance contracts, with one model allowing insurers and insureds to trade freely on a liquid secondary market, while the other requires insurance firms to act as brokers between... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/19561 |
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| Mason, Nicole M.; Myers, Robert J.. |
| This policy synthesis estimates the effects of the Zambia Food Reserve Agency’s (FRA) activities on maize market prices in the country. The FRA, a government parastatal strategic food reserve/maize marketing board, buys maize at a pan-territorial price that typically exceeds wholesale market prices in major maize producing areas. It then exports the maize or sells it domestically at prices determined by tender, at auction, or administratively. In deficit production years, the Agency often imports maize and sells it to select large-scale millers at below-market prices. |
| Tipo: Technical Report |
Palavras-chave: Zambia; Maize; Food Security; Agricultural and Food Policy; Food Security and Poverty. |
| Ano: 2011 |
URL: http://purl.umn.edu/120766 |
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| Mason, Nicole M.; Chapoto, Antony; Jayne, Thomas S.; Myers, Robert J.. |
| 1. Consistent with the New Variant Famine (NVF) hypothesis, the negative impact of drought on crop output and output per hectare is further exacerbated where HIV prevalence rates are relatively high, particularly in the low- and medium rainfall zones of the country (agro-ecological regions I and II). 2. HIV prevalence rates and AIDS-related mortality rates in Zambia are highest in the lowest rainfall and most drought-prone zone of the country (agro-ecological region I). 3. Only for districts in agro-ecological region I do we find evidence of a robust negative effect of HIV/AIDS on agrarian livelihood indicators. Relatively stable food production zones and/or areas with relatively low HIV prevalence rates appear to be less vulnerable to the adverse effects... |
| Tipo: Report |
Palavras-chave: Food security; Food policy; Zambia; HIV/AIDS; Food Security and Poverty; Health Economics and Policy; Q20. |
| Ano: 2007 |
URL: http://purl.umn.edu/54629 |
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| Lai, Jing-Yi; Myers, Robert J.; Hanson, Steven D.. |
| Most previous research on post-harvest grain storage by farmers has assumed risk-neutral behavior and/or made restrictive assumptions about underlying price probability distributions. In this study we solve the optimal post-harvest storage problem for a risk averse farmer under more general assumptions about underlying price distributions. The resulting model is applied to Michigan corn farmers and results show that, contrary to the sell all-or-nothing risk-neutral rule, risk averse farmers will spread sales out over the storage season. The optimal pattern for sales by Michigan corn farmers is to sell approximately 50% of corn at harvest in November (a risk-reduction strategy) and approximately 40% in May (a return-enhancing strategy). |
| Tipo: Working or Discussion Paper |
Palavras-chave: Crop Production/Industries. |
| Ano: 2001 |
URL: http://purl.umn.edu/11739 |
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| Jayne, Thomas S.; Mason, Nicole M.; Myers, Robert J.; Ferris, John N.; Mather, David; Beaver, Margaret; Lenski, Natalie; Chapoto, Antony; Boughton, Duncan. |
| Accurate information on farmer and consumer behavior is the foundation for Identifying public investments and policies that can effectively promote national food security and income growth objectives. This report synthesizes recent findings on smallholder crop marketing behavior and urban consumption patterns in Eastern and Southern Africa, and their implications for public sector investments and policies to promote smallholder incomes and national food security. |
| Tipo: Report |
Palavras-chave: Food security; Africa; Smallholder markets; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Crop Production/Industries; International Development; Marketing; Q14; Q13; Q12; Q11. |
| Ano: 2010 |
URL: http://purl.umn.edu/62148 |
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| Jayne, Thomas S.; Myers, Robert J.; Nyoro, James K.. |
| The Government of Kenya pursues maize marketing policy objectives through the National Cereals and Produce Board (NCPB) which procures and sells maize at administratively determined prices, and stores maize as a contingency against future shortages. A private sector marketing channel competes with the NCPB and prices in this channel are set by supply and demand forces. This paper estimates the effects of NCPB activities on the historical path of private sector maize market prices in Kenya between 1989 and 2004. Results provide important insights into the historical effects of the NCPB, and will provide useful input into deliberations on the appropriate role for the NCPB in the future. It was not possible to use a fully structural econometric model to... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Kenya; Income transfers; Maize policy; Price stabilization; VAR; International Development; C22; O2; Q13; Q18. |
| Ano: 2006 |
URL: http://purl.umn.edu/25555 |
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| Registros recuperados: 31 | |
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