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| Registros recuperados: 58 | |
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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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| Islam, Zahirul; Turvey, Calum G.; Hoy, Michael. |
| The main motivation for this paper is the recognition of the fact that asymmetric information is the form of moral hazard and adverse selection results in sizeable efficiency losses. These costs are passed back to producers in the form of excessively high premium rates and also passed back to the government via the crop insurance subsidy program. A secondary motivation stems from a recent debate in the literature regarding the specific effects of moral hazard on agricultural input use. Conventional wisdom suggests that moral hazard will induce producers to reduce input usage. A competing hypothesis has emerged which suggests that moral hazard may induce producers to increase their usage or risk increasing inputs. The main objective of this paper was to... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Risk and Uncertainty. |
| Ano: 1999 |
URL: http://purl.umn.edu/34103 |
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| Rienstra-Munnicha, Paul; Turvey, Calum G.; Koo, Won W.. |
| This paper developed an economic framework to analyze the economic impacts of an ECP on trade flows within the context of a partial equilibrium approach which assumes that non-payment risks are distinct between selling at home and abroad based on difficulties and expense in recovering non-payments are different in the two markets. A two-country partial equilibrium trade model is developed to analyze the economic impact of the export credit insurance and/or guarantees on trade flows. The results also show that to minimize or recover the efficiency loss, an export credit program can be employed to increase the exported quantity and reduce the excessively high equilibrium price as a result of non-payment risk. The overall net welfare loss of the two... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2006 |
URL: http://purl.umn.edu/21391 |
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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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| Turvey, Calum G.; Kong, Rong. |
| To reduce vulnerability and food insecurity this paper investigates the economics of micro-credit. We provide a model that shows how a micro-credit market based on trust can co-exist with a commercial collateral-based market. This model is developed in detail and certain propositions are supported using dominant strategies in a trust-honour game based on the prisoners dilemma. From a policy point of view the theoretical model indicates that trust-based lending, coupled with certain incentives, can go far in supporting growth opportunities in developing countries. It is argued that development policy should be flexible enough to permit trust-based micro-lending to the poor, regardless of how counter-intuitive this must appear to the conventional wisdom. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Financial Economics. |
| Ano: 2007 |
URL: http://purl.umn.edu/9929 |
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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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| Turvey, Calum G.. |
| This paper proposes that the common finding that land prices are systematically higher than their fundamental value as measured by the present value of future cash might be due to real options arising from uncertainty in cash flows. The paper posits a model in which the seller has a real option to postpone the sale of land. Because the value of land is measured as a present value, the buyer does not hold a similar option to postpone the purchase. It is argued that the seller's option offers a plausible explanation for the wedge between observed farmland prices and the present value model. The paper uses a Dixit and Pindyck (1996) real options framework. Using historical cash flow and land price information for Ontario, it is shown how real options can... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Land Economics/Use. |
| Ano: 2002 |
URL: http://purl.umn.edu/34131 |
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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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| 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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| Registros recuperados: 58 | |
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