Hostname: page-component-586b7cd67f-t7czq Total loading time: 0 Render date: 2024-11-22T22:22:27.975Z Has data issue: false hasContentIssue false
  • English
  • Français

The Single Index Market Model in Agriculture

Published online by Cambridge University Press:  10 May 2017

C. M. Gempesaw II ,
A. M. Tambe ,
R. M. Nayga  and
U. C. Toensmeyer
C. M. Gempesaw II
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
A. M. Tambe
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
R. M. Nayga
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
U. C. Toensmeyer
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
Get access

Abstract

This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different. The stochastic coefficients model is used to show the difference in beta-risk estimates compared with the traditional fixed coefficients OLS procedure. A third estimating technique, weighted least squares/Prais Winsten method, is also proposed.

Type
Articles
Information
Northeastern Journal of Agricultural and Resource Economics , Volume 17 , Issue 2 , October 1988 , pp. 147 - 155
Copyright
Copyright © 1988 Northeastern Agricultural and Resource Economics Association 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

The authors acknowledge the assistance of Dr. P.A.V.B. Swamy for providing the SWAMSLEY program and the editor and anonymous reviewers for their helpful suggestions on earlier drafts of this paper. Published as Miscellaneous Paper no. 1235 of the Delaware Agricultural Experiment Station.

References

Anderson, J., Dillon, J. and Hardaker, B. Agricultural Decision Analysis. Ames, Iowa: Iowa State University Press, 1977.Google Scholar
Barry, P. ed. Risk Management in Agriculture. Ames, Iowa: Iowa State University Press, 1984.Google Scholar
Barry, P. “Capital Asset Pricing and Farm Real Estate.” American Journal of Agricultural Economics 62 (1980):549–553.Google Scholar
Barry, P. and Willmann, D. “A Risk Programming Analysis of Forward Contracting With Credit Constraints.” American Journal of Agricultural Economics 58 (1976):62–70.Google Scholar
Bos, T. and Newbold, P. “An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model.” Journal of Business 57 (1984):35–41.Google Scholar
Brink, L. and McCarl, B. “The Tradeoff Between Expected Return and Risk Among Corn Belt Farmers.” American Journal of Agricultural Economics 60 (1978):259–263.Google Scholar
Collins, R. and Barry, P. “Risk Analysis With Single Index Portfolio Models: An Application to Farm Planning.” American Journal of Agricultural Economics 68 (1986):152–161.Google Scholar
Conway, R., Hallahan, C., Stillman, R. and Prentice, P. Forecasting Livestock Prices: Fixed and Stochastic Coefficients Estimation. USDA-ERS Technical Bulletin no. 1725, 1987.Google Scholar
Conway, R. Examining Intertemporal Export Elasticities for Wheat Corn and Soybeans: A Stochastic Coefficient Approach. USDA-ERS Technical Bulletin no. 1709, 1985.Google Scholar
Delaware Agricultural Statistics. Delaware Dept. of Agriculture, various issues.Google Scholar
Dhillon, P. and Latimer, R. Cost of Producing Fresh Market Vegetables on Small Farms in New Jersey. New Jersey Agricultural Experiment Station, Rutgers University, various issues.Google Scholar
Hutchinson, R. and McKillop, D. Risk Analysis With Single Index Portfolio Models: An Application to Farm Planning: Comment.” American Journal of Agricultural Economics 70 (1988):192–194.Google Scholar
Johnson, S. “A Re-examination of the Farm Diversification Problem.” Journal of Farm Economics 48 (1967):610–621.Google Scholar
Leblanc, M., Durst, R., Hrobovcak, J., and Conway, R. “Economic Consequences of Tax Reform on Agricultural Investment.” Paper presented at the AAEA annual meeting, Michigan State University. 1987.Google Scholar
Lopez-Pereira, M., Lowenberg-DeBoer, J., and Baker, T. “Diversification Opportunities for Hog Producers: A Single Index Model Application.” Paper presented at the AAEA annual meetings, Michigan State University, 1987.Google Scholar
Markowitz, H. Portfolio Selection: Efficient Diversification of Investments. New York: J. Wiley and Sons, 1959.Google Scholar
Musser, W. and Stamoulis, G. “Evaluating the Food and Agricultural Act of 1977 with Firm Quadratic Risk Programming.” American Journal of Agricultural Economics 63 (1981):647–656.Google Scholar
National Broiler Council. Unpublished Cost and Returns Data. 1987.Google Scholar
Persaud, T. and Mapp, H. “Effects of Alternative Measures of Dispersion on Risk-Efficient Farm Plans in a MOTAD Framework.” Paper presented at the AAEA meeting, Pullman, Washington, 1979.Google Scholar
Pindyck, R. and Rubinfeld, D. Econometric Methods and Economic Forecasts. 2nd ed. New York: McGraw-Hill, 1981.Google Scholar
Resler, D. and others. “Detecting and Estimating Changing Economic Relationships: The Case of Discount Window Borrowings.” Applied Economics 17 (1985):509–527.Google Scholar
Scott, J. and Baker, C. “A Practical Way to Select an Optimum Farm Plan Under Risk.” American Journal of Agricultural Economics 54 (1972):657–660.Google Scholar
Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” Journal of Finance 191 (1964):425–442.Google Scholar
Shurley, W. Production, Marketing and Storage Decisions Under Risk for Cash Grain and Crop-Hog Farms in West Central Indiana, unpublished , Purdue University, 1980.Google Scholar
Snyder, D. “Farm Cost Accounts, Fruit and Vegetable Crops.” Cornell University Agricultural Experiment Station, various issues.Google Scholar
Stevens, G. “Maryland Farm Planning Data, Crops, Livestock, Poultry.” University of Maryland Agricultural Experiment Station, various issues.Google Scholar
Swamy, P., Kennickell, A. and Von Sur Muehlen, P. “Forecasting Money Demand with Econometric Models.” Special Studies Paper no. 196, Federal Reserve Board, Washington D.C., 1986.Google Scholar
Swamy, P. and Tinsley, P. “Linear Prediction and Estimation Methods for Regression Models with Stationary Stochastic Coefficients.” Journal of Econometrics 12 (1980):103–142.Google Scholar
Turvey, C. and Driver, H. “Systematic and Nonsystematic Risks in Agriculture.” Canadian Journal of Agricultural Economics 35 (1987):387–401.Google Scholar