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A Real-Time Risk Assessing Approach to Projecting Kansas Net Farm Income

Опубликовано на портале: 06-02-2004
Manhattan, 2000
Организация: Department of Agricultural Economics
Подтип: Магистерские
Тематические разделы: Экономика, Экономика отраслевых рынков, Экономика отраслевых рынков: Аграрная экономика

Agricultural producers face many risks, and methods that provide means for capturing additional value are routinely sought. These methods may include stock investment. This first essay in this study examines these issues from a risk standpoint. Firms within sectors of the food and agribusiness industry face many of the same industry and market dynamics in agriculture provide environment to study the stochastic relationships between food and agribusiness stock returns. The second essay in this study investigates these relationships and arbitrage. The first essay examines vertical investment by agricultural producers via the purchase of corporate agribusiness stock. The study analyzes whether stock investment is a viable vertical hedge for agricultural producers by specifically examining the financial risk relationships between corporate agribusiness stock investments and agricultural production enterprises of actual individual farms. Results indicate that it is possible for agricultural producers to capture value via risk reduction by investing in publicly traded food and agribusiness corporations that operate in other stages of the food and agribusiness value chain. The second essay examines the dynamics in food and agribusiness stock rates of return. This second study investigates the dynamics of food and agribusiness firm stock with that of other firms in the same sector of the agribusiness industry and with the market. The study determines if threshold levels exist and estimates the threshold, outside which arbitrage opportunities exist. Results indicate the existence of cointegration in some cases, suggesting the existence of long-run dynamic relationships. However, results suggest only a couple cases of significant threshold effects, suggesting the lack of large deviations from long-run relationships and suggesting markets tend to be efficient.

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См. также:
Neil Wallace
Federal Reserve Bank of Minneapolis Quarterly Review. 1988.  Vol. 12. No. 4.
Надежда Львовна Титова
Ю.Л. Воробьев, Георгий Геннадьевич Малинецкий, Н.А. Махутов
Общественные науки и современность. 2000.  № 6. С. 150-163. 
David J. Hand, W. E. Henley
Journal of the Royal Statistical Society. 1997.  Vol. 160. No. 3. P. 523-541.