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Registros recuperados: 28
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A Comparison of Traditional and Copula based VaR with Agricultural portfolio AgEcon
Mandal, Maitreyi; Lagerkvist, Carl Johan.
Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion cannot correctly proxy the expected utility with non-Normal returns. Copulas are a very useful tool to deal with non standard multivariate distribution. Value at Risk (VaR) and Conditional Value at Risk (CVaR) have emerged as a golden measure of risk in recent times. Though...
Tipo: Presentation Palavras-chave: Portfolio Choice; Downside Risk Protection; Value at risk; Copula; Agricultural Finance; Risk and Uncertainty; C52; G11; Q14.
Ano: 2012 URL: http://purl.umn.edu/124387
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A Model of Inflation for Sri Lanka AgEcon
Cooray, Arusha.
This paper uses two models: an open economy model and a closed economy model to estimate a price equation for Sri Lanka. The results suggest greater support for the open economy model. Consistent with previous studies for Sri Lanka, supply side factors appear to be important in influencing the general price level in Sri Lanka.
Tipo: Journal Article Palavras-chave: Sri Lanka; Inflation; Price; Nested - non nested models; Cointegration; Error correction; Farm Management; E31; E64; C51; C52.
Ano: 2008 URL: http://purl.umn.edu/50017
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An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models AgEcon
Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V..
This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds strong evidence for a mean-reverting feature in the short-term interest yield curve, but no evidence was found to indicate that the volatility is highly positively correlated with the level of interest rates. What is more, evidence was found that the CKLS model, the CIR SR model, and the Brennan-Schwartz model are correctly specified to model the Chinese short-term interest rate, so that these three models are able to adequately capture the dynamics of this interest...
Tipo: Journal Article Palavras-chave: Single-factor models; Mean reversion; GMM estimation; Prediction tests; Financial Economics; C52; E43.
Ano: 2007 URL: http://purl.umn.edu/50157
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Análisis econométrico de la heterogeneidad de las preferencias de los individuos: aplicación a la valoración económica de la conservación del paisaje agrícola de montaña AgEcon
Colombo, Sergio; Hanley, Nick.
The need to account for respondents’ preference heterogeneity in stated choice models has motivated researchers to apply random parameter logit and latent class models. In this paper we compare these three alternative ways of incorporating preference heterogeneity in stated choice models and evaluate how the choice of model affects welfare estimates in a given empirical application. Finally, we discuss what criteria to follow to decide which approach is most appropriate. RESUMEN: La necesidad de incorporar la heterogeneidad en las preferencias de los individuos en los modelos de elección discreta ha llevado a los investigadores a emplear siempre más frecuentemente modelos de parámetros aleatorios o de clases latentes. En este artículo se comparan tres...
Tipo: Journal Article Palavras-chave: Heterogeneity; Heterogeneidad; Modelos de clases latentes; Modelos de heterogeneidad de la varianza; Modelos de parámetros aleatorios; Paisaje de montaña; Latent class models; Covariance heterogeneity models; Random parameter models; Uphill landscape; Environmental Economics and Policy; Research Methods/ Statistical Methods; C52; Q24.
Ano: 2008 URL: http://purl.umn.edu/37191
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Community Tax Evasion Models: A Stochastic Dominance Test AgEcon
Gandelman, Nestor.
In a multi community environment local authorities compete for tax base. When monitoring is imperfect, agents may decide not to pay in their community (evasion), and save the tax difference. The agent decision on where to pay taxes is based on the probability of getting caught, the fine he eventually will have to pay and the time cost of paying in a neighbor community. First, we prove that if the focus of the agents’ decision is the probability of getting caught and the fine, only the richest people evade. If instead, the key ingredient is the time cost of evading, only the poorest cheat. Second, we test the evasion pattern on the Automobile Registration System in Uruguay using two stochastic dominance tests. The evidence favors in this case the hypothesis...
Tipo: Journal Article Palavras-chave: Tax evasion; Stochastic dominance; H26; H77; C52.
Ano: 2005 URL: http://purl.umn.edu/37120
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Convergence and the Effects of Spatial Interaction AgEcon
Niebuhr, Annekatrin.
Since the beginning of the 1990s, the issue of income convergence has received considerable attention in economic research. Although a vast number of empirical studies has emerged, evidence on the role of spatial interaction is still rather scarce. The present paper is an attempt to provide additional information on the spatial aspect of convergence. Spatial econometric methods are used to investigate regional convergence in West Germany. The results indicate that spatial interaction is an important element of regional growth. However, considering spatial effects does not alter the general conclusion that regional income growth is characterised by a process of convergence.
Tipo: Working or Discussion Paper Palavras-chave: Regional convergence; Spatial interaction; Spatial econometrics; Community/Rural/Urban Development; C21; C52; O18; R11.
Ano: 2001 URL: http://purl.umn.edu/26351
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Crop Production Functions for Analysis of Global Change Impacts in Spain AgEcon
Gomez, Sonia Quiroga; Iglesias, Ana.
The goal of this paper is to increase the capacity of the agriculture sector to understand and respond to the climate variability, by reducing the uncertainty of the farmers over decisions that are affected for meteorological conditions. To study the yield responses to meteorological variables in the past is crucial to understand the vulnerability of the agriculture to the climate change in the future. We have estimated regression models where the historical yields have been put in dependence of variables that can represent main drivers of global change, such as climate variables and technological ones. In this context we evaluate its influence over the yields. Among the conclusions we find that the adaptation to climate change requires challenges in which...
Tipo: Conference Paper or Presentation Palavras-chave: Spanish agriculture; Climate; Global change; Crop Production/Industries; C50; C52; Q10.
Ano: 2005 URL: http://purl.umn.edu/24565
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Estimating Indirect Production Functions with a More General Specification: An Application of the Lewbel Model AgEcon
Hilmer, Christiana E.; Holt, Matthew T..
Whereas consumer theory employs several different empirical specifications for estimating indirect utility functions, producer theory has relied on the Translog specification to estimate the indirect production function. In this paper, we apply Lewbel’s more general functional specification and investigate its implications for the estimation of indirect production functions in productivity analysis. An attractive feature of the Lewbel model is that it nests both the Translog and the almost ideal supply system, offering a method to assess the empirical validity of all three specifications. Aggregate U.S. production data are used to examine the performance of the three models in an empirical application.
Tipo: Journal Article Palavras-chave: Duality; Indirect production function; Nested test; C32; C52; Q12.
Ano: 2005 URL: http://purl.umn.edu/43484
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Estimation and Inference for Threshold Effects in Panel Data Stochastic Frontier Models AgEcon
Yelou, Clement; Larue, Bruno; Tran, Kien C..
One of the most enduring problems in cross-section or panel data models is heterogeneity among individual observations. Different approaches have been proposed to deal with this issue, but threshold regression models offer intuitively appealing econometric methods to account for heterogeneity. We propose three different estimators that can accommodate multiple thresholds. The first two, allowing respectively for fixed and random effects, assume that the firms’ specific inefficiency scores are time-invariant while the third one allows for time-varying inefficiency scores. We rely on a likelihood ratio test with m − 1 regimes under the null against m regimes. Testing for threshold effects is problematic because of the presence of a nuisance parameter which...
Tipo: Conference Paper or Presentation Palavras-chave: Stochastic frontier models; Threshold regression; Technical efficiency; Bootstrap; Dairy production; C12; C13; C23; C52; Research Methods/ Statistical Methods.
Ano: 2007 URL: http://purl.umn.edu/9769
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Exchange and Interest Rates prior to EMU: The Case of Greece AgEcon
Antzoulatos, Angelos A.; Wilfling, Bernd.
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continuous time are theoretically rigorous, a systematic and extensive empirical validation is still lacking. Using exchange and interest rate data collected prior to the Greek EMU-entrance on 1 January 2001 this paper tries to fill the gap between theory and real-world data. The analysis reveals that the formal models can explain many features of the Greek exchange and interest rate dynamics on the road to EMU.
Tipo: Working or Discussion Paper Palavras-chave: EMU; Exchange and interest rate models; Policy shifts; Economic regime switching models; International Relations/Trade; E43; F31; F33; C51; C52.
Ano: 2003 URL: http://purl.umn.edu/26325
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Incorporating Uncertainty and Cero Values into the Valuation of Protected Areas and Species AgEcon
Hurle, Jesus Barreiro; Garcia, Jose Maria Casada; Perez y Perez, Luis.
Under the Spanish conservation law, compensation is envisaged for the damage associated with all actions that reduce the quantity or quality of protected areas and species. This paper provides a tool to evaluate the monetary equivalent of this damage. We conduct a contingent valuation exercise to estimate the existence value related to protected areas and species in Aragon. This estimate is then reconsidered including the possibility of zero bids and also the possibility of uncertain preferences for non-familiar goods. Considering these two effects, mean values are reduced significantly giving support to previous recommendations of dividing by two contingent valuation estimates from dichotomous choice question formats.
Tipo: Conference Paper or Presentation Palavras-chave: Natural heritage; Contingent valuation; Spike model; Uncertainty; Land Economics/Use; B23; C24; C42; C52; D62; Q26.
Ano: 2005 URL: http://purl.umn.edu/24745
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Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes AgEcon
Wilfling, Bernd.
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind intervention...
Tipo: Working or Discussion Paper Palavras-chave: Interest rate volatility; Term structure; Exchange rate arrangements; Intervention policy; Stochastic processes; Financial Economics; E43; F31; F33; C52.
Ano: 2001 URL: http://purl.umn.edu/26277
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International Pork Trade and Foot-and-Mouth Disease AgEcon
Yang, Shang-Ho; Reed, Michael R.; Saghaian, Sayed H..
International pork trade has not only been influenced by trade agreements but also altered by consumer perceptions on disease-infected animals. This study uses a gravity model with fixed-effects to investigate how pork trade is affected by foot-and-mouth disease among 186 countries. Results confirm that pork export falls when an exporting country develops FMD. Exporters with a vaccination policy have larger negative impacts than those with a slaughter policy. Further, pork importers that develop FMD and institute a slaughter policy will import more pork, but importers with a vaccination policy import the same level of pork. In order to retain a position as a top pork exporter, a slaughter policy is often a better choice than a vaccination policy.
Tipo: Presentation Palavras-chave: Foot-and-mouth disease; Pork exports; Regional trade agreement; Gravity model; Zero-valued trade.; Food Consumption/Nutrition/Food Safety; International Relations/Trade; Research Methods/ Statistical Methods; C52; Q17; Q18.
Ano: 2012 URL: http://purl.umn.edu/124356
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Las preferencias discontinuas en los experimentos de elección: impacto en el cálculo de la prima de los programas agroambientales AgEcon
Espinosa-Goded, Maria; Barreiro-Hurlé, Jesús.
En los experimentos de elección se presupone que los individuos consideran todos los atributos que describen un bien a la hora de escoger su opción preferida. Sin embargo, existe evidencia de que los individuos pueden obviar algún atributo. Este trabajo investiga el impacto derivado de las preferencias discontinuas en las estimaciones de la compensación necesaria para acogerse a la medida agroambiental relativa a la siembra de leguminosas en secano. La consideración de las preferencias discontinuas mejora la bondad de ajuste de los modelos, sin embargo únicamente afecta de manera significativa a la compensación demandada por uno de los cuatro atributos no monetarios que definen el programa agroambiental para la submuestra de los agricultores no...
Tipo: Journal Article Palavras-chave: Experimento de elección; Medidas agroambientales; Modelo logístico de parámetros aleatorios; Precios implícitos; Preferencias discontinuas.; Agribusiness; C25; C52; Q12; Q18..
Ano: 2010 URL: http://purl.umn.edu/99607
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Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches AgEcon
Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A..
The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several beverages including advertising effects in systems-wide analyses. In our analysis, we develop and employ a unique monthly time-series data set derived from Nielsen Homsescan panels for household purchases of non-alcoholic beverages over the period from January 1998 through...
Tipo: Presentation Palavras-chave: Non-alcoholic beverages; Vector autoregression; Polynomial distributed lags; Beverage advertizing; Directed acyclic graphs; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Marketing; C18; C22; C52; C53; C81; D11; D12.
Ano: 2012 URL: http://purl.umn.edu/124363
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Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector AgEcon
Bastianin, Andrea.
In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their...
Tipo: Working or Discussion Paper Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43.
Ano: 2009 URL: http://purl.umn.edu/50452
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Oil Price Forecast Evaluation with Flexible Loss Functions AgEcon
Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...
Tipo: Working Paper Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.
Ano: 2011 URL: http://purl.umn.edu/120042
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On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis AgEcon
Power, Gabriel J.; Turvey, Calum G..
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the...
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14.
Ano: 2008 URL: http://purl.umn.edu/37608
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Operational Models for Improving the Targeting Efficiency of Agricultural and Development Policies: A systematic comparison of different estimation methods using out-of-sample tests AgEcon
Houssou, Nazaire; Zeller, Manfred.
Accurate targeting is key for the success of any development policy. While a number of factors might explain low targeting efficiency such as governance failure, political interference or lack of political will, this paper focuses on improving indicator-based models that identify poor households and smallholder farmers more accurately. Using stepwise regressions along with out-of-sample validation tests and receiver operating characteristic curves, this paper develops proxy means tests models for rural and urban Malawi. The models developed have proved their validity in an independent sample and therefore, can be used to target a wide range of development policies to the poor. This makes the models a potentially interesting policy tool for the country.
Tipo: Conference Paper or Presentation Palavras-chave: Malawi; Poverty targeting; Predictions; Proxy means tests; Out-of-sample tests; ROC curve; Bootstrap; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Food Security and Poverty; International Development; Political Economy; Research Methods/ Statistical Methods; C01; C13; C51; C52; I3; I32; Q14.
Ano: 2009 URL: http://purl.umn.edu/51454
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Price Sensitivities for U.S. Frozen Dairy Products AgEcon
Maynard, Leigh J.; Veeramani, Venkat N..
Price elasticities and flexibilities for frozen dessert products were estimated from weekly scanner data, with emphasis on functional form selection, system misspecification testing, and endogeneity testing. Reciprocals of elasticities and elasticity matrix inversion were invalid means of obtaining flexibility estimates, leaving direct estimation as the only viable, albeit resource-intensive, approach.
Tipo: Journal Article Palavras-chave: Dairy; Demand; Price elasticities; Price flexibilities; C32; C52; D11; D12; Q11.
Ano: 2003 URL: http://purl.umn.edu/43194
Registros recuperados: 28
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