Compensated optimal response under uncertainty in agricultural household models

This study derives the qualitative properties of a household's optimal consumption, family labour, hired labour and non-labour input choices under price and/or output risk through a Slutsky-type compensation without imposing any restriction on risk preference structure or production technology. These compensated responses provide the underpinning for welfare analysis in agricultural household models under risk. The framework for the evaluation of welfare effects of product and factor price interventions in a setting of output and price risk is developed. The paper also outlines an empirical model for estimation of the compensated demand and supply responses and for validation of the paper's analytical results.     

Choice Research: A Wealth of Perspectives

This article is a navigation guide to the twenty papers that emerged from the workshops conducted at the Sixth Invitational Choice Symposium (Estes Park, Colorado, June 2004). The papers are categorized into three broad sets that focus respectively on choice modeling issues, on providing interdisciplinary perspectives on choice, and on relating choice research to real world concerns. Within each category, we offer provide brief integrative overviews linking subsets of papers.     

Agricultural Commodity Price Shocks and Their Effect on Growth in Sub‐Saharan Africa

Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in Sub‐Saharan Africa. We choose nine Sub‐Saharan African countries that are heavily dependent on a single agricultural commodity for a significant portion of their income. This paper quantifies the impact of agricultural commodity price shocks using a structural non‐linear dynamic model. The novel aspect of this study is that we determine whether the response of per capita GDP for the selected Sub‐Saharan African countries is different to unexpected increases in agricultural commodity prices as opposed to decreases in prices. We conclude that there is very little evidence that an unanticipated price increase (decrease) will lead to a significantly different response in per capita incomes.     

Smooth transition effects in price transmission: The case of international wheat export prices

International wheat prices are tested for cointegration allowing for exponential smooth transition adjustment. The results suggest that owing to transactions costs, it is plausible that arbitrage will be greater, the further the prices deviate from each other.     

A Tale of Two Anomalies: Higher Returns of Low‐Risk Stocks and Return Seasonality

Prior studies have shown that low beta and low volatility stocks earn higher average returns than high beta and high volatility stocks, contradicting the prediction of the capital asset pricing model and the fundamental relationship between risk and return. In this paper, we demonstrate that this phenomenon is driven by the seasonality of stock returns. We show that the risk‐return tradeoff does hold in the nonsummer months, and that switching to a portfolio of low‐risk stocks in summer outperforms—both in terms of absolute and in risk‐adjusted returns—buy and hold strategies as well as the Sell in May strategy of switching to treasury bills in summer.     

Coherent forecasting for count time series using Box–Jenkins's AR(p) model

During the last three decades, integer‐valued autoregressive process of order p [or INAR(p)] based on different operators have been proposed as a natural, intuitive and maybe efficient model for integer‐valued time‐series data. However, this literature is surprisingly mute on the usefulness of the standard AR(p) process, which is otherwise meant for continuous‐valued time‐series data. In this paper, we attempt to explore the usefulness of the standard AR(p) model for obtaining coherent forecasting from integer‐valued time series. First, some advantages of this standard Box–Jenkins's type AR(p) process are discussed. We then carry out our some simulation experiments, which show the adequacy of the proposed method over the available alternatives. Our simulation results indicate that even when samples are generated from INAR(p) process, Box–Jenkins's model performs as good as the INAR(p) processes especially with respect to mean forecast. Two real data sets have been employed to study the expediency of the standard AR(p) model for integer‐valued time‐series data.     

Are Shocks Transitory or Permanent? An Inquiry into Agricultural Commodity Prices

This paper contributes to the contentious topic of whether shocks to agricultural commodity prices are permanent or transitory. This is an important issue with regards to forecasting, economic modelling of agricultural prices and risk management. Past studies have not accounted for important characteristics of agricultural prices that matter when testing whether shocks to prices are permanent or transitory. These include the presence or absence of a deterministic trend, the possible break in the trend, non‐stationary volatility, and the problem of the initial deviation of commodity prices from their long‐run mean or trend. We conduct a comprehensive test that incorporates all these characteristics known to plague agricultural commodity prices. Though the conclusion is mixed, the balance is in favour of agricultural price shocks being permanent in nature. This result departs from the general view that in theory, agricultural prices should be stationary, suggesting that the controversy of whether shocks to agricultural prices are temporary or permanent is not yet over.     

The share of the global energy mix: Signs of convergence?

This paper investigates the convergence behaviour regarding the share of global energy mix, as measured by primary energy consumption. Recent studies that employ stationary tests of panel data suggest that such data support the convergence hypothesis; however, some drawbacks exist, as these studies rely on methods that do not necessarily imply a sufficient condition for convergence. This paper adopts the concept of relative convergence as proposed by Phillips and Sul (2007), which employs a time‐varying, idiosyncratic component. We choose to focus on various sources’ global primary energy consumption and investigate the long‐ run dynamic behaviour by source. The key finding of this paper is that two distinct clubs of convergence of energy can be determined: renewable and non‐renewable energy clubs of convergence.     

A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of productive use, estimation of the defendants' future liability stream requires a model that can predict how the failure rate or the onset of the disease will change over time.This paper proposes such a model. The estimation technique allows one to compute the 'excess risk' attributable to the hazard or product defect distinct from the natural causes of failure or disease incidence and to calculate the defendants' future liability stream based on the estimates of failure or incidence rates. An application to product failure illustrates the working of the model.     

An Ongoing race: family CEOs vs. non-family CEOs

International Entrepreneurship and Management Journal - Recent studies have established that non-family CEOs invariably outperform family CEOs. In this paper, we argue that the case against family...