Systematic stress tests with entropic plausibility constraints

Stress tests with handpicked scenarios might misrepresent risks either because dangerous scenarios are not considered or because the scenarios considered are too implausible. To overcome these two pitfalls we propose a systematic search for the worst case within a relative entropy ball of sufficiently plausible scenarios. For this purpose we use mixed scenarios, which are risk factor distributions rather than realisations. A Maximum Loss theorem explicitly gives the worst case distribution. The method is illustrated in a number of example applications: linear and quadratic portfolios, stressed default probabilities, stressed correlations, macroeconomic stress tests.     

Does EU Enlargement Increase Agro‐Food Export Duration?

This paper examines the impact of EU enlargement on agro‐food export performance across 12 new EU member states and five newly independent states in the EU markets covering the period 1999 to 2007. The performance is examined by duration of export and hazard model. We find larger duration for the agro‐food exports from the new EU member states. The results confirm gains from the eastward EU enlargement and governance on export increases and longer duration for exporting higher value‐added specialized consumer‐ready food and more competitive niche agro‐food products.     

Labour Market Adjustment and Intra‐Industry Trade: The Effects of Association on the Hungarian Food Industry

The structure of Hungary’s food trade expansion over the period 1995–2003 and its implications for labour market adjustment are examined. The contributions of the paper are threefold. First, we test the sensitivity of results to the choice of measurement and their implications for the results. Second, we introduce more industry‐specific control variables. Third, we distinguish the short‐ and long‐run adjustment effects. Our results provide some support for the smooth‐adjustment hypothesis of intra‐industry trade. Estimations confirm that industry‐specific variables may have a significant effect on adjustment costs.     

Investment and financial constraints in Hungarian agriculture

We investigate credit market imperfections in Hungarian agriculture. Farmers with low debts and using mainly rented land are liquidity constrained. We find also evidence for the presence of soft budget constraint for high debt and corporate farms.     

The relationship between the ecologisation of farms and total factor productivity: A continuous treatment analysis

The European Green Deal aims to mitigate the environmental impact of food production while improving the income of primary producers and strengthening the EU's competitiveness. We examine how the degree of ecologisation affects farms' total factor productivity (TFP). Our analysis combines a random-parameter stochastic production frontier model with a composite indicator and a dose–response function approach. Results show a monotonically decreasing relationship between ecologisation and expected TFP level. On average, a one-step increase in the degree of ecologisation results in a 12% decrease in TFP. However, the results indicate a non-linear relationship. Three regions of the dose–response function can be distinguished; associated with high, medium and low degrees of ecologisation. In a region with a low degree of ecologisation, farms can increase the degree of ecologisation without reducing TFP. Both efficiency and technological differences contribute to these differences, but the main reason is technological. With increasing ecologisation, farm technology becomes more ‘land using’. Therefore, farms can increase their TFP and degree of ecologisation simultaneously by using land-saving technologies or through sustainable intensification.