Agricultural arbitrage and risk preferences

Rulon Pope; Jeffrey LaFrance; Richard Just

doi:10.1016/j.jeconom.2009.10.007

Agricultural arbitrage and risk preferences

Rulon Pope, Jeffrey LaFrance, Richard Just

Research output: Contribution to journal › Article › Research › peer-review

16 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	35 - 43
Number of pages	9
Journal	Journal of Econometrics
Volume	162
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2009.10.007
Publication status	Published - 2011
Externally published	Yes

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10.1016/j.jeconom.2009.10.007

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abstract = "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.",

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AB - 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.

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DO - 10.1016/j.jeconom.2009.10.007

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JO - Journal of Econometrics

JF - Journal of Econometrics

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Agricultural arbitrage and risk preferences

Abstract

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