Agricultural arbitrage and risk preferences

Rulon Pope, Jeffrey LaFrance, Richard Just

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A structural intertemporal model of agricultural asset arbitrage equilibrium is developed and applied to agriculture in the North Central region of the US. The data are consistent with a unifying level of risk aversion. The levels of risk aversion are more plausible than previous estimates for agriculture. However, the standard arbitrage equilibrium is rejected; perhaps, this is due to the period and the shortness of the period studied.
Original languageEnglish
Pages (from-to)35 - 43
Number of pages9
JournalJournal of Econometrics
Issue number1
Publication statusPublished - 2011
Externally publishedYes

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