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INTERNATIONAL MARKET INTEGRATION UNDER WTO: EVIDENCE IN THE PRICE BEHAVIORS OF CHINESE AND US WHEAT FUTURES AgEcon
Du, Wen.
China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two...
Tipo: Conference Paper or Presentation Palavras-chave: Integration; Wheat; Futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14.
Ano: 2004 URL: http://purl.umn.edu/20115
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INTERTEMPORAL DECISIONS OF FARMERS’ RISK MANAGEMENT: A DYNAMIC OPTIMIZATION WITH GENERALIZED EXPECTED UTILITY AgEcon
Du, Wen; Wang, H. Holly.
In this paper we attempt an intertemporal study of risk management decisions for wheat growers in the Pacific Northwest. We apply a generalized expected utility model (GEU) to examine the farmers’ optimal choices of hedging ratios and crop insurance coverage levels in the presence of government payment programs in a multi-period production environment. A stochastic trend model is used to identify the long-term time series patterns of annual wheat yields, cash prices, and futures prices from two counties in Washington. The fitted models are then used as the base for yield and price simulation over the next five years. The stochastic dynamic optimization problem is solved numerically based on simulated data. The optimal solutions indicate that the GEU model...
Tipo: Working or Discussion Paper Palavras-chave: Crop Production/Industries; Risk and Uncertainty.
Ano: 2004 URL: http://purl.umn.edu/36205
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Intertemporal Risk Management Decisions of Farmers under Preference, Market, and Policy Dynamics AgEcon
Wang, H. Holly; Du, Wen.
This paper adapts a generalized expected utility (GEU) maximization model (Epstein and Zin, 1989 and 1991) to examine the intertemporal risk management of wheat producers in the Pacific Northwest. Optimization results based on simulated data indicate the feasibility of the GEU optimization as a modeling framework. It further extends the GEU model by incorporating a welfare measure, the certainty equivalent, to investigate the impacts of U.S. government programs and market institutions on farmers' risk management decisions and welfare. A comparison between the GEU and other expected utility models further implies GEU has the advantage of specifying farmers' intertemporal preferences separately and completely. Impact analysis results imply that farmers'...
Tipo: Conference Paper or Presentation Palavras-chave: Generalized expected utility; Risk management; Multi-period production; Dynamic optimization; Intertemporal preference; Market institution; Government payments; Risk and Uncertainty; Q14; D9; C61.
Ano: 2005 URL: http://purl.umn.edu/19526
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THE IMPACT OF RISK AVERSION, TIME PREFERENCE, AND INTERTEMPORAL SUBSTITUTABILITY ON FARMERS' RISK MANAGEMENT BEHAVIOR AgEcon
Du, Wen; Wang, H. Holly.
This paper applies the generalized expected utility (GEU) approach developed by Epstein and Zin (1989, 1991) to dynamic agricultural risk analysis. We explore the impacts of alternative preference parameters of farmers including of risk aversion, time preference, and intertemporal substitutability on their optimal risk management portfolio selection. Furthermore, we extend the GEU model by introducing a welfare measure, the equivalence variation, and investigate the impacts of U.S. government programs and market institutions on farmers' risk management decisions. We find farmers’ optimal hedge ratio is sensitive to changes in the preferences and the effects of these preferences changes are intertwined. The policy impact analysis shows government payment...
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2004 URL: http://purl.umn.edu/36235
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