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| Registros recuperados: 33 | |
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| Odening, Martin; Hinrichs, Jan. |
| The objective of this paper is to investigate the performance of different VaR models in the context of risk assessment in hog production. Potential pitfalls of traditional VaR models are pinpointed and proposals to solve them are analyzed. After a brief description these methods are used to calculate the VaR of the hog finishing margin under German market conditions. In particular we apply Extreme Value Theory (EVT) to our data and compare the results with historical simulation (HS) and the variance-covariance method (VCM). Hill's estimator is used to determine the tail index of the extreme distribution of the gross margin in hog finishing and farrow production. A bootstrap method proposed by Danielsson et al. (1999) is adopted to choose the optimal... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries; Risk and Uncertainty. |
| Ano: 2002 |
URL: http://purl.umn.edu/19907 |
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| Shen, Zhiwei; Odening, Martin. |
| The implementation of index-based crop insurance is often impeded by the existence of systemic risk of insured losses. We assess the effectiveness of two strategies for coping with systemic risk: regional diversification and securitization with catastrophe (CAT) bonds. The analysis is conducted in an equilibrium pricing framework which allows the optimal price of the insurance and the number of traded contracts to be determined. We also explore the role of basis risk and risk aversion of market agents. The model is applied to a hypothetical area yield insurance for rice producers in northeast China. If yields in two regions are positively correlated, we find that enlarging the insured area leads to an increasing insurance premium. Unless capital market... |
| Tipo: Presentation |
Palavras-chave: Crop insurance; Systemic risk; Risk pooling; Securitization; Risk and Uncertainty; Q11; Q14. |
| Ano: 2012 |
URL: http://purl.umn.edu/122555 |
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| Odening, Martin; Musshoff, Oliver; Utesch, Volker. |
| The objective of this paper is to explore the potential of the real options approach for analyzing farmers’ choice to switch from conventional to organic farming. Understanding the determinants of this decision is relevant in particular for agricultural policy makers when predicting the response of farmers to support programs. After a brief review of the existing literature on barriers to the adoption of organic farming a theoretical model is presented that allows one to incorporate two main features of the adoption decision, namely irreversibility and uncertainty of the returns. The real options model quantifies investment multiples that trigger the adoption of organic farming. Compared with neoclassical models it suggests an inertia of the respective... |
| Tipo: Journal Article |
Palavras-chave: Organic farming; Real options; Switching regression; Hysteresis; Farm Management. |
| Ano: 2004 |
URL: http://purl.umn.edu/97451 |
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| Odening, Martin; Hinrichs, Jan. |
| The objective of this paper is to investigate the performance of different Value-at-Risk (VaR) models in the context of risk assessment in hog production. The paper starts with a description of traditional VaR models, i.e. Variance-Covariance-Method (VCM) and Historical Simulation (HS). We address two well known problems, namely the fat tailedness of return distributions and the time aggregation of VaR forecasts. Afterwards, Extreme-Value-Theory (EVT) is introduced in order to overcome these problems. The previously described methods are then used to calculate the VaR of hog production under German market conditions. It turns out that EVT, VCM, and HS lead to different VaR forecasts if the return distributions are fat tailed and if the forecast horizon is... |
| Tipo: Journal Article |
Palavras-chave: Value-at-risk; Extreme-value-theory; Risk in hog production; Farm Management; Risk and Uncertainty. |
| Ano: 2003 |
URL: http://purl.umn.edu/98092 |
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| Odening, Martin; Filler, Gunther. |
| Die Verbreitung von Technologien zur Biogaserzeugung hängt maßgeblich von deren einzelbetrieblicher Wirtschaftlichkeit ab. Der vorliegende Beitrag bestimmt die technische und die ökonomische Effizienz sowie die Rentabilität von Biogasanlagen auf der Basis empirischer Daten, die aus einer Befragung des KTBL hervorgehen. Die Effizienzmessung erfolgt mittels Data Envelopment Analyse (DEA). Es zeigt sich, dass die Effizienz der untersuchten Anlagen eine große Variabilität aufweist. Dies deutet darauf hin, dass die Produktionstechnik nicht in allen Betrieben voll beherrscht wird. Entscheidend für die Effizienz von Biogasanlagen ist weniger deren Größe als vielmehr eine gute Auslastung. Mit Blick auf die Rentabilität stellen die Kosten für die Bereitstellung der... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Resource /Energy Economics and Policy. |
| Ano: 2007 |
URL: http://purl.umn.edu/7571 |
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| Zinych, Nataliya; Odening, Martin; Huettel, Silke. |
| This paper addresses the question of financial constraints in Ukrainian agriculture in transition. The main objective is to reveal the evidence of the both phenomena, soft budget constraints and credit rationing, investigating investment behaviour of large farms in Ukraine. Our empirical analysis is based on unbalanced panel data containing 529 agricultural enterprises from three Ukrainian regions between 2001 and 2005. Estimates of the Euler investment equation for several sub-samples reveal a dissimilar level of financial constraints. We confirm the presence of the soft financial environment (soft budget constraints) for the Ukrainian large farms being in an unconstrained financial regime. The farms belong to this regime if they receive credits after... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Transition agriculture; Investment; Soft budget constraints; Credit rationing; Ukraine; Agricultural Finance. |
| Ano: 2007 |
URL: http://purl.umn.edu/7834 |
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| Rommel, Jens; Neuenfeldt, Sebastian; Odening, Martin. |
| Das Vertrauen der Konsumenten in gesunde Nahrungsmittel wird regelmäßig durch Lebensmittelskandale erschüttert. Im Zusammenhang mit der Diskussion von Maßnahmen, die seitens der Produzenten und/oder des Staates ergriffen werden, um Nahrungsmittelsicherheit zu gewährleisten, stellt sich die Frage, wie der Markt, genauer gesagt: die Verbraucher, auf das Bekanntwerden von Lebensmittelskandalen reagieren. In dem Beitrag wird der Frage nachgegangen, ob und wie sich Lebensmittelskandale, die eine mediale Verbreitung gefunden haben, auf Preise und Verbrauchsmengen ausgewählter tierischer Agrarerzeugnisse auswirken. Als methodischer Ansatz werden Ereignisstudien gewählt, die eine einfache Möglichkeit bieten, die Marktwirkungen sachlich und zeitlich klar... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Lebensmittelskandal; Ereignisstudie; Fleischmarkt; Food Consumption/Nutrition/Food Safety. |
| Ano: 2009 |
URL: http://purl.umn.edu/53261 |
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| Ritter, Matthias; Musshoff, Oliver; Odening, Martin. |
| Weather risk is one of the main causes for income fluctuation in agriculture. Since 1997, the economic consequences of weather risk can be insured with weather derivatives, which are offered for many different weather events, such as temperature, rainfall, snow or hurricanes. It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site... |
| Tipo: Presentation |
Palavras-chave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32. |
| Ano: 2012 |
URL: http://purl.umn.edu/122527 |
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| Registros recuperados: 33 | |
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