鲜活农产品供应链协调研究——基于风险规避的收益共享契约分析

供应链协调是鲜活农产品供应链高效运作的基础。本文通过引入新鲜度因子和风险规避系数的Stackelberg博弈模型,研究了由专业合作社和超市构成的鲜活农产品供应链协调问题,分析了收益共享契约机制下供应链成员的最优定价策略及供应链成员风险规避行为对批发价和零售价的影响。数值分析结果表明,鲜活农产品批发价随着新鲜度、收益共享率的增大而增大;零售价随着零售商风险规避程度的增大而减小;而批发价随着生产商风险规避程度的增大而减小,随着零售商风险规避程度的增大而增大。要改变现状应通过大力培育农产品流通组织,提高流通主体组织化程度;设计合理的收益共享机制和风险分担机制,协调供应链成员利益;加强农产品流通基础设施建设及先进物流技术的应用等措施,提升供应链整体绩效,提高鲜活农产品流通效率。     

Efficiency and sharing of investment in specific human capital under risk aversion

This paper analyses the investment behavior of a risk-averse worker who searches for other jobs in a two-period model. It will be shown that given an appropriate investment technology, the worker will invest in specific human capital efficiently if his investment costs and return can be shared with some parties. The presence of sharing allows the worker to invest efficiently without being affected by his risk aversion since he can adjust his share of the investment in a way compatible with his attitude towards risk.     

Rationally inattentive consumption choices

This paper analyzes how information-processing limitations affect consumption in a dynamic full-fledged non-linear quadratic Gaussian (LQG) setting. In the model, risk-averse consumers rationally choose the quantity and quality of information to process about their wealth, while constrained by a Shannon channel. The main contribution of the paper is methodological. It proposes a solution to rational inattention problems in rich theoretical environments. The main prediction of the model is that consumption responses to wealth shocks are asymmetric, with negative shocks producing faster and stronger reaction than positive shocks. The model also predicts that information-processing constraints increase persistence and volatility of consumption behavior.     

Imperfect Forward Markets and Hedging

This paper considers a hedging model of a risk-averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward-sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk-averse firm is shown to produce less and hedge more than a less risk-averse firm.
(J.E.L.: D21, D81).     

GAMBLING WITH TAX DOLLARS

Municipalities often spend money in the hopes of generating new tax revenue. Because the estimated increase in tax revenues is uncertain, these policies are essentially gambles with tax dollars. This paper shows that it is possible for a welfare-maximizing government to exhibit risk-loving behavior even though individual taxpayers are risk-averse. This risk-loving behavior may occur when the government has the option to provide an indivisible public good, such as a park. Interestingly, the poorest and wealthiest municipalities do not find gambles optimal. For communities that find gambles optimal, both the provision of the public good and tax rates are affected.     

Further results on comparative statics under uncertainty. A comment on Machnes

This paper re-examines the results in Machnes (1993). When a risk-averse firm faces both uncertain demand and uncertain fixed costs, the Arrow-Pratt theory of decreasing absolute risk aversion may be too weak to yield unambiguous comparative statics. Herein, it is shown that the stronger notions of risk behavior proposed by Ross (1981) and Kimball (1993) are useful in providing intuitive results in this context.     

Is it possible to be too risk averse? Considerations for financial management in the public sector

Within the financial management discipline, risk aversion is viewed as ‘secure’ and ‘responsible’. Yet, frequently risk aversion is associated with delays, failure to take action, decreased employee morale and stakeholder frustration. This article considers the role of risk aversion within the public sector and questions whether the risk-averse nature of the organization, coupled with risk-averse leaders can result in negative outcomes for the agency. The article concludes that while risk aversion is important, there are actions that a risk-averse leader can take to minimize the implications of risk-averse behaviour on the organization as a whole.     

Assortative matching of risk-averse agents with endogenous risk

A standard risk-sharing matching game predicts negative assortative matching over agents’ risk attitudes. In regards to risk sharing, less risk-averse agents prefer highly risk-averse partners, who pay a high risk premium. Negative sorting is, however, inconsistent with empirical and experimental literature. To resolve this conflict, we propose a model where agents can control the risks to their incomes. In regards to risk management, agents prefer similar partners because of their aligned objectives in risk management. When it is easy to control risks or all agents are sufficiently risk-averse, the risk-management effect dominates, leading to positive sorting.     

On the theory of the competitive labor-managed firm under price uncertainty

The short-run behavior of a labor-managed firm under competitive assumptions and price uncertainty is analyzed assuming risk aversion. It is compared with its behavior under certainty and the behavior of a capitalist-managed firm under price uncertainty. It is shown that a risk-averse labor-managed firm employs more labor than a risk-neutral labor-managed firm. Generally, uncertainty is seen to have greater impact on the behavior of a labor-managed firm than on the behavior of a capitalist-managed firm. Except under constant risk aversion, the behavior of a labor-managed firm under price uncertainty is less predictable than that of a capitalist-managed firm.     

Intertemporal elasticity of substitution and risk aversion: are they related empirically?

This article examines the relationship between two types of preference: preference of intertemporal choices and preference towards risk. In the simplest form of the constant relative risk aversion utility function, the intertemporal elasticity of substitution (IES) and risk aversion have an inverse relationship. However, there is no empirical evidence that suggests this inverse relationship holds. We examine the relationship between risk aversion and IES using household consumption data from the Consumer Expenditure Survey during 1996–2010. Multiple risk domains are selected to represent risk preference, and for each domain, we consider some households to be more risk averse than others. We separately estimate IES for the more risk-averse and less risk-averse households. We find that the IES estimates are generally smaller for the more risk-averse households than for the less risk-averse households and that the difference is statistically significant in the majority of the financial domains. This finding supports the inverse relationship between the two parameters, although considerable heterogeneity is found across domains.     

Risk aversion and self-insurance

This paper considers the effects of an increase in risk aversion on self-insurance. More risk-averse individuals invest more in self-insurance in the case of two states of the world. However, with more than two states, this standard conclusion does not hold. The reason is that self-insurance does not necessarily reduce larger losses more effectively than smaller losses. Self-insurance thus may not serve as insurance, and more risk-averse individuals may invest more or less in self-insurance. The paper provides a condition for more risk-averse individuals to invest more in self-insurance, and a condition for them to invest less.     

Market structure and multiperiod hedging

This paper develops a multiperiod hedging model for a competitive risk-averse international firm. We study the optimal sequential hedging strategy and analyze the impact of the structure of available risk sharing markets on the firm's export decision. As a main result, we find that the number of risk sharing markets critically affects the export level while the timing of these markets is inconsequential.     

Production decisions in the presence of options: A note

This paper examines the behavior of the competitive firm under uncertainty in the presence of commodity options. We show that the risk-averse firm always uses fairly priced commodity options for hedging purposes. However, unlike the case of forward/futures contracts, the presence of fairly priced commodity options cannot induce the firm to produce up to the certainty equivalent level. We further show that risk aversion alone is not enough to make the firm more eager to produce in the presence of fairly priced commodity options. To establish this intuitively appealing result, the notion of prudence is also called for.     

The role of risk and risk-aversion in adoption of alternative marketing arrangements by the US farmers

The objective of this article is to analyse the relationship between farmers’ risk-aversions and the riskiness of various agricultural enterprises to see which marketing arrangements would typically emerge. Relying on the basic agency theory model, we hypothesize the prevalence of alternative marketing arrangements (AMAs) in situations with high risk-averse farmers and high-risk enterprises and the prevalence of spot (cash) markets for low risk-averse participants and less risky enterprises. Our empirical tests are carried out using the 2004 Agricultural Resource Management Survey (ARMS). The empirical results are largely supportive of the agency theory of contract choice.     

The effect of production uncertainty on the labor-managed firm

The effects of production uncertainty on the behavior of the labor-managed, cooperative firm are examined and it is shown that they generally differ from the case of certainty and the case of the entrepreneurial, profit-maximizing firm. In particular, it is shown that the risk-averse (risk-seeking) cooperative will have a larger (smaller) ratio of labor to nonlabor input employed in production than the risk-neutral cooperative.     

The capital asset pricing model in economic perspective

The capital asset pricing model (CAPM) is theoretically incomplete in its demand-side focus, risk-averse investors and internally inconsistent homogeneous beliefs; is not conclusively supported empirically; and yet it legitimizes a notion that investors can earn higher returns by bearing undiversifiable risk. Our article does not merely extend the CAPM with more realistic assumptions, it completes its original framework by including (1) risk-taking investors in the investor population, (2) investors who can have heterogeneous expectations or beliefs – an overlooked but required condition for the CAPM to be an internally consistent and meaningful model of competitive financial asset pricing under uncertainty and (3) a positive-sloped short-run supply curve based on a reasonable interpretation of the nature of financial asset trade. Upon a complete economic interpretation, it is shown that the equilibrium (systematic) risk-rate of return relationship depends on whose aggregate trading activity dominates, risk-averse or risk-taking investors’. There is no universal, or even general, positive relationship between systematic risk and rate of return. This has far-reaching implications for investors and investment advisors who serve them.     

My money or yours: house money payment effects

This paper reports the results of an experiment designed to study how subjects’ decision making may be affected by the timing of participation payments (or show-up fees). The experiment follows Davis et al. (J. Econ. 30:69–95, 2004) where subjects were asked to make a sequential purchase decision and were given the opportunity to purchase information about the value of a good prior to a decision to purchase the good itself. There, subjects purchased information less often than expected which was interpreted as risk-seeking behavior. Here, we test a payment hypothesis by varying the timing of the participation payment. Payment of a show-up fee before the decision-making stages of the experiment increases information purchase, which we interpret as an increase in risk-averse behavior.     

Fear itself: How risk sensitive firms can give demand shocks bite

Many economists believe that recessions arise when aggregate demand is insufficient to support full employment. However, replicating this intuition within a real business cycle (RBC) model has proven surprisingly challenging. Rather than eliciting a contraction, lower consumer demand leads to greater household savings in many such models, fueling new investment and causing the economy to expand. The present paper proposes a novel way to resolve this apparent paradox: risk-averse firms. In the model to follow, cautious firms reduce their demand for investment prior to a recession. This contraction in the demand for capital overcomes the increased supply arising from consumer savings and restores intuitive business cycle behavior. In particular, the paper demonstrates that the model economy contracts when subjected to an uncertainty shock in consumer demand, mimicking a pre-recessionary environment in which firms, fearing a lack of orders, precipitate the downturn by reducing capital expenditures. These results are consistent with microeconomic evidence that uncertainty, particularly uncertainty about future demand, is the primary reason for firms shedding workers or scaling down operations in advance of an economic downturn. More generally, they imply that firm's attitudes towards risk shouldn't be ignored in modern macroeconomic models.     

Employment Risk and Optimal Trade Policies

This paper considers trade policies and welfare in a Harris–Todaro model with risk-averse workers. Workers are assumed to have identical and homothetic preferences, but their incomes differ, depending on whether and where they are employed. When workers are equally valued, maximizing social utility is equivalent to maximizing the utility of a rural worker. An optimal policy consists of a production subsidy on the exportable and an import tariff. This model explains the widespread use of import tariffs on manufactured goods along with production subsidies on the export sectors in many LDCs.
JEL Classification Numbers: F13, D8.     

PRICE CONSTRAINTS,FORWARD MARKETS AND THE COMPETITIVE FIRM UNDER PRICE UNCERTAINTY*

This article proposes a model of the competitive firm simultaneously facing price constraints and forward markets under price uncertainty. The incorporation of a forward market is shown to be very important because a risk-averse firm will set its production decision to the forward price regardless of its attitude toward risk. In addition, we show that risk aversion is a sufficient condition for a decrease in risk to reduce the amount hedged when risk is reduced through a mean-preserving price squeeze.