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A financial analysis of the effect of the mix of crop and sheep enterprises on the risk profile of dryland farms in south-eastern Australia AgEcon
Hutchings, Timothy R.; Nordblom, Thomas L..
This study analyses the financial risk faced by representative mixed-enterprise farm businesses in four regions of south-eastern Australia. It uses discrete stochastic programming to optimise the ten-year cash flow margins produced by these farms, operating three alternative farming systems. Monte Carlo simulation analysis is used to produce a risk profile for each scenario, derived from multiple runs of this optimised model, randomised for commodity prices and decadal growing season rainfall since 1920. This analysis shows that the performance of the enterprise mixes at each site is characterised more by the level of variability of outcomes than by the mean values of financial outputs. It demonstrates that relying on mean values for climate and prices...
Tipo: Article Palavras-chave: Farm management; Financial risk; Climate risk; Price risk; Variability; Farm Management.
Ano: 2011 URL: http://purl.umn.edu/120908
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Coherent Quantitative Analysis of Risks in Agribusiness: Case of Ukraine AgEcon
Tarasov, Arthur.
Modern methods of quantitative risk analysis, specifically value-at-risk and expected shortfall approach, provide comprehensive and coherent risk evaluation throughout entire distribution of outcomes and can take agricultural business from the realm of uncertainty to specific, quantified risks. Monte Carlo simulation with autocorrelation of standard deviation shows the best results in risk modeling and is used for this research. The analysis showed that production risk is systemic within climatic regions of Ukraine with coefficients of correlation ranging from 0.25 to 0.85. Yield correlation among crops in several oblasts is low to negative, creating opportunities for diversification. However, positive price-yield correlation is dominant for agricultural...
Tipo: Article Palavras-chave: Production risk; Price risk; Value-at-risk in agriculture; Expected shortfall; Production Economics; Risk and Uncertainty; GA; IN.
Ano: 2011 URL: http://purl.umn.edu/120240
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Cross-Hedging Distillers Dried Grains Using Corn and Soybean Meal Futures Contracts AgEcon
Brinker, Adam J.; Parcell, Joseph L.; Dhuyvetter, Kevin C.; Franken, Jason R.V..
Ethanol mandates have led to an increase in the production of distillers dried grains (DDGs), a co-product of ethanol production that is incorporated into livestock rations. As with most competitive industries, there is some level of price risk in handling DDGs, and there is no DDG futures contract available for managing price risk. Commonly, DDGs are hedged using only corn futures. Our results suggest that cross-hedge risk may be reduced by including soybean meal futures in an encompassing cross-hedge strategy. Further, we also conclude soybean meal futures currently may be slightly more effective at reducing risk than in the past.
Tipo: Journal Article Palavras-chave: Cross-hedge; Distillers dried grains; Ethanol; Price risk; Agribusiness; Demand and Price Analysis.
Ano: 2009 URL: http://purl.umn.edu/90654
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Differences in Prices and Price Risk Across Alternative Marketing Arrangements Used in the Fed Cattle Industry AgEcon
Muth, Mary K.; Liu, Yanyan; Koontz, Stephen R.; Lawrence, John D..
Information on prices and price risk differences across marketing arrangements aids fed cattle producers in making choices about marketing methods. As part of the congressionally mandated Livestock and Meat Marketing Study, we investigated fed cattle price and price risk differences across marketing arrangements. The analysis uses data representing cattle purchased by 29 large beef packing plants from October 2002 through March 2005. Results indicate that marketing agreements offered the best tradeoff between price level and price risk. Forward contracts had the lowest average yet highly volatile prices. Auction barn prices were higher than other methods but also the most volatile.
Tipo: Journal Article Palavras-chave: Alternative marketing arrangements; Fed cattle; Hedonic; Price risk; Price volatility; Prices; Livestock Production/Industries; Marketing; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/36711
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Differences in Prices and Price Risk across Alternative Marketing Arrangements Used in the Fed Cattle Industry AgEcon
Muth, Mary K.; Liu, Yanyan; Koontz, Stephen R.; Lawrence, John D..
Information on typical differences in prices and price risk (as measured by the variances of prices) across marketing arrangements aids fed cattle producers in making choices about methods to use for selling fed cattle to beef packers. This information is also useful for policy discussions on merits and drawbacks of alternative marketing arrangements. As part of the congressionally mandated Livestock and Meat Marketing Study, we investigated differences in prices and price risk for fed cattle cash market and alternative marketing arrangements. The modeling approach, which is similar to a hedonic model, controls for differences in cattle quality and delivery month and accounts for the within- and across-week correlation in prices. The analysis uses a recent...
Tipo: Conference Paper or Presentation Palavras-chave: Alternative marketing arrangements; Fed cattle; Prices; Price volatility; Price risk; Hedonic.
Ano: 2007 URL: http://purl.umn.edu/37578
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Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems AgEcon
Fortenbery, T. Randall.
This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that ‘‘protects’’ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer ‘‘work.’’ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading.
Tipo: Journal Article Palavras-chave: Futures markets; Hedging; Price risk; Risk management; Speculation; Agribusiness; Agricultural Finance; Marketing; Risk and Uncertainty; G13; Q11; Q13; Q14.
Ano: 2009 URL: http://purl.umn.edu/53084
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EFFECT OF RISK AVERSION ON FEEDER CATTLE PRICES AgEcon
Lee, Jung-Hee; Brorsen, B. Wade.
This paper determines the effects of cattle feeders' risk aversion on feeder cattle prices using pen data of Kansas feedlots. Higher profit risk results in lower feeder cattle prices. The elasticity of feeder cattle price with respect to profit risk was small (-0.013). The risk elasticity estimated here is similar to risk elasticities in previous studies and thus, the use of pen-level data does not seem to add much to the study of risk.
Tipo: Journal Article Palavras-chave: Feedlot pen data; Price expectations; Hedonic price; Price risk; Risk aversion; Demand and Price Analysis; Livestock Production/Industries.
Ano: 1994 URL: http://purl.umn.edu/15168
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El nuevo seguro de ingresos de la patata: una evaluacion preliminar AgEcon
Estavillo, Julio; Aguado, Salomon; Bielza, Maria; Garrido, Alberto; Sumpsi, Jose Maria.
En 2003 y 2004, se ofreció por primera vez en España un seguro que protege contra la caída de precios en origen de un producto agrícola. Se trata de un seguro de rentas lanzado con carácter piloto para las producciones de patata de media estación y patata tardía en cinco provincias españolas (Álava, Burgos, La Rioja, León y Valladolid). El objetivo de este trabajo es describir las características del seguro y realizar una evaluación preliminar de las campañas en que ha funcionado. Se parte de una aproximación conceptual a los instrumentos de gestión de riesgos de mercado, en cuyo contexto se enmarca el presente seguro. Posteriormente se explica el modelo de precios empleado para definir los precios de referencia del mercado y las primas, contrastando la...
Tipo: Journal Article Palavras-chave: Price risk; Agricultural insurance; Revenue insurance; Potato market; Crop Production/Industries.
Ano: 2005 URL: http://purl.umn.edu/28767
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Florida citrus planting decisions: impacts of expected returns and price risks on varietal choice AgEcon
Brown, Mark G.; Lee, Jonq-Ying.
A model is developed to explain Florida citrus planting levels by variety. The varietal choice is based on the expected prices and price variances/covariances of the varieties under consideration. Overall planting returns are maximized for a given level of price risk. The model's price coefficients are similar to those of the Theil and Barten Rotterdam demand model. As in the Rotterdam model, both absolute and relative price coefficient specifications are considered, allowing an examination of restrictions related to the price risk. The empirical analysis considers two restricted specifications -- a varietal independence model, based on the assumption that only the price variances are important for predicting planting levels, and a group independence...
Tipo: Report Palavras-chave: Planting decision; Florida citrus; Price risk; Expected returns; Demand and Price Analysis; Farm Management.
Ano: 2003 URL: http://purl.umn.edu/52880
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IMPLICATIONS OF DEFLATING COMMODITY PRICES FOR TIME-SERIES ANALYSIS AgEcon
Peterson, Hikaru Hanawa; Tomek, William G..
The choice of deflators of commodity prices can change the time-series properties of the original series. This is a specific application of the general phenomenon that various kinds of data transformations can create spurious cycles that did not exist in the original data. Different empirical models of expectations result from nominal and various deflated series that have distinct time-series properties, and these models, in turn, produce varying estimates of supply response and measures of price risk. The foregoing is illustrated by annual grain prices, monthly milk prices, and a milk supply analysis. Annual prices of corn and soybeans, for example, appear to vary around a constant mean, but when deflated by general price indexes such as the CPI, the...
Tipo: Conference Paper or Presentation Palavras-chave: Deflating; Time-series analysis; Price expectations; Price risk; Supply analysis; Demand and Price Analysis.
Ano: 2000 URL: http://purl.umn.edu/18944
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Input Price Risk and the Adoption of Conservation Technology AgEcon
Schoengold, Karina; Sunding, David L..
Replaced with revised version of poster 07/12/11.
Tipo: Conference Paper or Presentation Palavras-chave: Price risk; Technology adoption; Matching; Propensity score; Environmental Economics and Policy; Resource /Energy Economics and Policy; Risk and Uncertainty; Q1; Q5.
Ano: 2011 URL: http://purl.umn.edu/103857
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Optimal Cash Purchase Strategies to Reduce Fertilizer Price Risk AgEcon
Kenkel, Philip L.; Kim, Taeyoon.
Fertilizer price volatility has increased dramatically. This research examines cash purchase and warehouse strategies. Seventeen years of Oklahoma fertilizer prices are examined. The results indicate that mechanical cash purchase strategies can be used to reduce the average cost or variance for fertilizer. Optimal purchase dates are also identified.
Tipo: Conference Paper or Presentation Palavras-chave: Fertilizer; Price risk; Seasonal price pattern; Agribusiness; Crop Production/Industries; Farm Management.
Ano: 2009 URL: http://purl.umn.edu/46570
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Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries AgEcon
Figiel, Szczepan; Hamulczuk, Mariusz; Klimkowski, Cezary.
In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable...
Tipo: Presentation Palavras-chave: Wheat prices; Volatility; Price risk; Data aggregation; Risk and Uncertainty; C22.
Ano: 2012 URL: http://purl.umn.edu/122549
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Producer Perceptions of Corn, Soybean and Cotton Price Risk AgEcon
Riley, John Michael; Anderson, John D..
Risk is an inevitable part of agricultural production and all producers face various forms of risk. This study used the subjective price expectations and price distributions of survey participants to determine how producer’s expectations compare with that of the market. Data used for this study were gathered through survey responses from Mississippi State University Extension meeting and workshop participants. Individual respondent’s discreet stated price and price distribution information was fitted to a continuous distribution and an implied mean and standard deviation was determined. This was compared to market price and price risk data. Participants largely over-estimated price. Individual volatilities resulting from each fitted distribution were lower...
Tipo: Conference Paper or Presentation Palavras-chave: Price risk; Price perception; Subjective probability elicitation; Production Economics; Q13.
Ano: 2009 URL: http://purl.umn.edu/46865
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The Effects of Weather and Output Price Risk on the Economic Returns of Backgrounding Feeding Cattle AgEcon
Harrison, R. Wes.
Stochastic simulation is used to analyze the effects of weather and output price risks on feeder cattle backgrounding systems common to the mid-south region of the United States. The results show that backgrounding systems beginning in the fall and ending from April to late August are associated with higher expected returns relative to summer backgrounding. However, winter backgrounding is associated with greater overall risk relative to summer backgrounding. Stochastic dominance analysis indicated that slightly risk averse backgrounders prefer both winter and summer baskgrounding but summer backgrounding is preferred by strongly risk averse decision makers.
Tipo: Journal Article Palavras-chave: Feeder cattle; Weather risk; Price risk; Stochastic dominance; Agribusiness; Livestock Production/Industries; Productivity Analysis.
Ano: 1997 URL: http://purl.umn.edu/90425
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The impact of price and yield risk on the bioeconomics of reservoir aquaculture in north Vietnam AgEcon
Petersen, Elizabeth H.; Hertzler, Greg; Schilizzi, Steven.
A bioeconomic model of reservoir aquaculture in northern Vietnam is used to investigate the impacts of price and yield risk on the level, variability and skewness of expected net revenue and utility. Prices and yields are assumed to follow lognormal and beta distributions, respectively. Net revenue follows a generalized gamma distribution and is found to be very risky compared with similar enterprises elsewhere, mainly due to the relatively high yield risk. This represents the nascent nature of the industry in Vietnam and the opportunity for efficiency improvements. Increasing production capacity (through increasing reservoir size, stocking density, production cycle length and harvest rate) are found to increase profits and decrease the variability of...
Tipo: Conference Paper or Presentation Palavras-chave: Bioeconomic modelling; Price risk; Yield risk; Aquaculture; Vietnam; Resource /Energy Economics and Policy.
Ano: 2007 URL: http://purl.umn.edu/10422
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การเลือกใช้เมล็ดพันธุ์ข้าวโพดกับผลตอบแทนที่เกษตรกรได้รับ: กรณีศึกษาอำเภอตากฟ้า จังหวัดนครสวรรค์ ปีการเพาะปลูก 2552 Thai Agricultural
Visit Limsombunchai; Sanit Kao-ian.
Objectives of this study were to investigate the cost and return to farmers on their corn production classified by varieties in Tak Fa district, Nakhon Sawan province in 2009 crop year. Out of 122 farm samples, 75, 13, 19 and 15 farms were found using variety A, B, C and others, respectively. The results showed that most of the farms had a similar production pattern. In addition, it was found that variety B had the highest cost of production, average yield, revenue and net profit (3,667.3 Baht/Rai 1,112.9 Kg./Rai 4,218.0 Baht/Rai and 550.7 Baht/Rai, respectively). Furthermore, the results indicated that variety C had the lowest yield risk while variety B had the lowest price risk. The study suggested that variety A was appropriate for the risk adverse...
Palavras-chave: Corn seed; Return to farmers; Yield risk; Price risk; ข้าวโพดเลี้ยงสัตว์; การผลิต; ปัจจัยการผลิต; พันธุ์; เมล็ดพันธุ์; ต้นทุน; ผลตอบแทน; รายได้; กำไร; ผลผลิต; ราคา; ความเสี่ยง; จ.นครสวรรค์ อ.ตากฟ้า.
Ano: 2010 URL: http://anchan.lib.ku.ac.th/agnet/handle/001/4689
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