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| Registros recuperados: 14 | |
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| Frechette, Darren L.; Wen, Fang-I. |
| Standard models of hedging behavior assume that either hedgers wish to minimize net price variation or they wish to balance variation versus profits. These models treat variation as risk and fail to distinguish between variation that is random and variation that is not random over time. Newer models of decision making differentiate between random and nonrandom variation somewhat, but they inadequately distinguish variation from risk. This paper reviews the distinctions among variation, uncertainty, and risk and calculates optimal hedge ratios for two models addressing the distinction. Empirical optimal hedge ratios typically decline toward zero when variation aversion is included in the models. These results may help explain why hedgers commonly hedge less... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis; Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/19062 |
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| Ro, Eunjik; Frechette, Darren L.. |
| Organic vegetable producers typically earn a premium over conventional producers to cover the added costs of organic production. The premium can vary greatly, making organic vegetable farming riskier than conventional farming and causing potential financial problems for new organic farming enterprises. Further, organic vegetable production is geographically concentrated in California, and the variation in organic price premia depends upon regional production factors, especially weather conditions. This study examines the relationship between organic vegetable price premia and California weather conditions near organic vegetable farms. Analysis is based on a unique data set of daily prices from the Boston Terminal Wholesale Market and California weather... |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2001 |
URL: http://purl.umn.edu/27823 |
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| Ueda, Takeshi; Frechette, Darren L.. |
| Consumption of lowfat and skim milk has increased substantially over the past decade. This study investigates whether the change is due to price and expenditure effects or to a more fundamental preference change in milk demand. Parametric and nonparametric analytical approaches provide a comprehensive analysis of structural change in milk consumption in New York State. A nonparametric approach first finds evidence of structural change. A parametric likelihood-ratio test then confirms the existence of structural change using a Kalman filter specification. The value of this technical analysis of milk preferences is its implication for labeling initiatives. Milk fat labels have allowed consumers to act on a new set of preferences, thereby improving consumer... |
| Tipo: Journal Article |
Palavras-chave: Food Consumption/Nutrition/Food Safety. |
| Ano: 2002 |
URL: http://purl.umn.edu/31484 |
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| Tuthill, Jonathan W.; Frechette, Darren L.. |
| This paper discusses some of the failings of expected utility including the Allais paradox and expected utility's inadequate one dimensional characterization of risk. Three alternatives to expected utility are discussed at length; weighted expected utility, rank dependent utility, and cumulative prospect theory. Each alternative is capable of explaining Allais paradox type problems and permits more sophisticated multi dimensional risk preferences. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2002 |
URL: http://purl.umn.edu/19073 |
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| Frechette, Darren L.. |
| The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand system are explained. The overall optimal hedge ratio is shown to increase when the marginal cost of trading options is reduced. The overall optimal hedge ratio is shown to decrease when the marginal cost of trading futures is decreased. The implication is that hedging demand can be stimulated by reducing the perceived cost of trading options, by educating hedgers about options and by initiating programs like the Dairy Options Pilot Program. The demand systems approach is applied to estimate optimal... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedging; Options; Futures; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18941 |
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| Jin, Hyun Joung; Frechette, Darren L.. |
| Agricultural prices are determined by natural and socio-economic factors that are known to be self-similar at different time scales and to follow non-periodic cyclical patterns. These properties are most easily understood using Mandelbrot's fractal geometry, in which a jagged time series is treated as a jagged coastline or any other natural phenomenon. The fractal market hypothesis provides the theory needed to explain why fractal structure exists in agricultural prices. Empirical evidence confirms theoretical predictions. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2002 |
URL: http://purl.umn.edu/19696 |
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| Frechette, Darren L.. |
| Expected prices for storable commodities often lie below spot prices plus interest and marginal storage charges. Recently this gap has been explained as the value of a call option held by a representative storer whenever a positive probability exists that stocks could dwindle to zero. However, the probability of an aggregate stock-out is effectively zero in most markets most of the time. This paper presents an alternative model that explains the gap as an equilibrium between fundamentals traders and noise traders. Applications of the model suggest that rational agents make up 84 percent of the U.S. copper market, and more than 95 percent of the corn and wheat markets. |
| Tipo: Journal Article |
Palavras-chave: Storage; Heterogeneous expectations; Noise traders; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/15149 |
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| Frechette, Darren L.; Novak, Jason A.. |
| Hedgers located far from organized commodity exchanges suffer the mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers but only to the extent that basis risk is small. Forward contracting allows hedgers to manage risk using a local delivery price, but the CFTC has long banned the sale off-exchange options, limiting the opportunities available to hedgers. Recently, Agricultural Trade Options (ATOs) have been introduced as over-the-counter option products designed specifically for hedgers. To date, ATOs have found little interest from potential sellers, but the potential demand for these options may be substantial. This paper describes and quantifies the demand for corn... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2001 |
URL: http://purl.umn.edu/18949 |
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| Shrestha, Sundar S.; Frechette, Darren L.. |
| Many studies have addressed the issues of the price relationships between spatially separated commodity markets. Such studies, which have policy relevance, provide information on the structure and the performance of the markets. Most of these studies, however, have been criticized for not considering the transfer costs and the seasonality in their analyses. In this study, taking two spatially separated markets in Nepal, we estimate and test for the spatial pricing efficiency in tomato markets. Specifically, we estimate the speed of price adjustment in the local market in response to the price shocks in the central market, and examine the efficiency of spatial arbitrage between these two markets. The data we use is unique in that the data was collected from... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/22076 |
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| Frechette, Darren L.. |
| Hedgers located far from organized commodity exchanges suffer a mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers, but only to the extent that basis risk is small. Forward contracting allows hedgers to manage risk using a local delivery price, but the Commodity Futures Trading Commission has long banned the sale of off-exchange options, limiting the opportunities available to hedgers. Recently, agricultural trade options (ATOs) have been introduced as over-the-counter option products designed specifically for hedgers. To date, ATOs have found little interest from potential sellers, but the potential demand for these options may be substantial. This study develops a... |
| Tipo: Journal Article |
Palavras-chave: International Relations/Trade. |
| Ano: 2003 |
URL: http://purl.umn.edu/31624 |
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| Registros recuperados: 14 | |
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