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Ambiguity Aversion and Asset Prices in Production Economies

Mohammad R. Jahan-Parvar and Hening Liu.

in The Review of Financial Studies

October 2014; p ublished online June 2014 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Information, Knowledge, and Uncertainy; Prices, Business Fluctuations, and Cycles; Economics. 16760 words.

We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model...

Ambiguity Aversion and the Term Structure of Interest Rates

Patrick Gagliardini, Paolo Porchia and Fabio Trojani.

in The Review of Financial Studies

October 2009; p ublished online November 2008 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Economics. 12803 words.

This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility....

An application of a cardinality-constrained multiple benchmark tracking error model on a plant enterprise selection problem

Qiuzhuo Ma, Krishna P Paudel, Liting Gu and Xiaowei Wen.

in European Review of Agricultural Economics

December 2018; p ublished online March 2018 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 15781 words.

Abstract

Yield and return of plants grown in a region are generally closely related. Agricultural scientists are less likely to recommend a single-plant...

Approximate surrogate production functions

Bertram Schefold.

in Cambridge Journal of Economics

September 2013; p ublished online March 2013 .

Journal Article. Subjects: Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 12883 words.

The Cambridge debate showed that an aggregation of capital is not possible in general. A recent investigation has found one example for reswitching and several for reverse capital...

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Are The Poverty Effects of Trade Policies Invisible?

Monika Verma, Thomas W. Hertel and Ernesto Valenzuela.

in The World Bank Economic Review

June 2011; p ublished online May 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; International Trade; Welfare and Poverty; Agricultural Economics; Household Analysis. 8255 words.

Beginning with the WTO's Doha Development Agenda and establishment of the Millennium Development Goal of reducing poverty by 50 percent by 2015, poverty impacts of trade reforms have become...

Behavior in a Spatially Explicit Groundwater Resource: Evidence from the Lab

Jordan F. Suter, Joshua M. Duke, Kent D. Messer and Holly A. Michael.

in American Journal of Agricultural Economics

October 2012; p ublished online August 2012 .

Journal Article. Subjects: Design of Experiments; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Renewable Resources and Conservation. 11444 words.

This research uses laboratory experiments to examine how hydrogeologic properties of groundwater models influence decision making. The results reveal that pumping rates are highest when the...

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A Birth-Death Markov Chain Monte Carlo Method to Estimate the Number of States in a State-Contingent Production Frontier Model

José Luis Preciado Arreola and Andrew L. Johnson.

in American Journal of Agricultural Economics

July 2015; p ublished online November 2014 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Econometric Modelling; Agricultural Economics. 10195 words.

In this article we estimate a state-contingent production frontier for a group of farms while endogenously estimating the number of states of nature induced by unobserved environmental...

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Can We Improve Farm Performance? The Determinants of Farm Technical and Environmental Efficiency

Bouali Guesmi and Teresa Serra.

in Applied Economic Perspectives and Policy

December 2015; p ublished online March 2015 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Production and Organizations; Agricultural Economics. 10210 words.

The environmental impacts of economic activities have become an important aspect in the evaluation of their overall performance. Consistently, traditional measures of technical efficiency...

A Century of Research on Rural Development and Regional Issues

Elena G. Irwin, Andrew M. Isserman, Maureen Kilkenny and Mark D. Partridge.

in American Journal of Agricultural Economics

April 2010; p ublished online April 2010 .

Journal Article. Subjects: Regional Government Analysis; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Urban, Rural, and Regional Economics; Household Analysis; Economic Development. 18020 words.

Rural North America has undergone a major economic transformation over the past century due to labor-saving technological progress, reductions in transport costs, and rising household...

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Comparing the Economic Impact of an Export Shock in Two Modeling Frameworks

Andrew J. Cassey, David W. Holland and Abdul Razack.

in Applied Economic Perspectives and Policy

December 2011; p ublished online October 2011 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Urban, Rural, and Regional Economics. 6665 words.

Because of more restrictive assumptions on regional input-output (IO) models compared to computable general equilibrium (CGE) models, IO results are thought to be consistent with long-run...

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Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence

Fousseni Chabi-Yo.

in The Review of Financial Studies

January 2008; p ublished online November 2007 .

Journal Article. Subjects: Economics; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 22506 words.

We develop a strategy for utilizing higher moments, variance risk premia, and conditioning information efficiently, and hence improve on the variance bounds computed by Hansen and...

A Conversational War of Attrition

Moritz Meyer-ter-Vehn, Lones Smith and Katalin Bognar.

in The Review of Economic Studies

July 2018; p ublished online December 2017 .

Journal Article. Subjects: Analysis of Collective Decision-making; Information, Knowledge, and Uncertainy; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Game Theory and Bargaining Theory. 25280 words.

Abstract

We explore costly deliberation by two differentially informed and possibly biased jurors: A hawk Lones and a dove Moritz alternately insist on a...

Corporate Fraction and the Equilibrium Term Structure of Equity Risk

Roberto Marfè.

in Review of Finance

March 2016; p ublished online May 2015 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium; Financial Markets; Economics. 17377 words.

The recent empirical evidence of a downward-sloping term structure of equity risk is viewed as a challenge to many leading asset pricing models. This article analytically characterizes...

Crop Insurance Adjusted Panel Data Envelopment Analysis Efficiency Measures

Saleem Shaik.

in American Journal of Agricultural Economics

October 2013; p ublished online August 2013 .

Journal Article. Subjects: Technological Change; Research and Development; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Agricultural Economics. 8784 words.

The Swamy-Arora panel data envelopment analysis model is used to estimate crop insurance adjusted efficiency based on an alternative two-way random effect panel estimator. An empirical...

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Dairy farms without quotas in Belgium: estimation and simulation with a flexible cost function

Bruno Henry de Frahan, Alexandre Baudry, Rembert De Blander, Philippe Polomé and Richard Howitt.

in European Review of Agricultural Economics

October 2011; p ublished online July 2011 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Agricultural Economics. 10294 words.

This paper evaluates the farm-level supply and income effects from removing milk quotas and reducing producer prices with increasing direct compensatory payments. Using a panel of Belgian...

Dealing with Uncertainty in Agent-Based Simulation: Farm-Level Modeling of Adaptation to Climate Change in Southwest Germany

Christian Troost and Thomas Berger.

in American Journal of Agricultural Economics

April 2015; p ublished online August 2014 .

Journal Article. Subjects: Environmental Economics; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Agricultural Economics. 11077 words.

Climate change will most likely confront agricultural producers with natural, economic, and political conditions that have not previously been observed and are largely uncertain. As a...

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Decomposing the Changes in Production Prices into “Capital-Intensity” and “Price” Effects: Theory and Evidence from the Chinese Economy

Theodore Mariolis and Lefteris Tsoulfidis.

in Contributions to Political Economy

June 2009; p ublished online April 2009 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium. 7111 words.

This paper deals with the changes in prices of production induced by variations in income distribution on the basis of a linear model of production with circulating capital and homogeneous...

Development of Statistical Discriminant Mathematical Programming Model Via Resampling Estimation Techniques

Houshmand A. Ziari, David J. Leatham and Paul N. Ellinger.

in American Journal of Agricultural Economics

November 1997; p ublished online November 1997 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Econometric Modelling. 0 words.

This paper uses resampling estimation techniques to develop a statistical mathematical programming model for discriminant analysis problems. Deleted-d jackknife, deleted-d bootstrap, and...

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Discretionary Policy and Multiple Equilibria in LQ RE Models

Andrew P. Blake and Tatiana Kirsanova.

in The Review of Economic Studies

October 2012; p ublished online June 2012 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Prices, Business Fluctuations, and Cycles; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; Monetary Policy, Central Banking, and the Supply of Money and Credit. 13114 words.

We study stationary discretionary equilibria in dynamic linear-quadratic rational expectations models. Past papers have assumed that this is uniquely determined; we show that such models...

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Distributional Comparative Statics

Martin Kaae Jensen.

in The Review of Economic Studies

January 2018; p ublished online May 2017 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Information, Knowledge, and Uncertainy; Intertemporal Choice and Growth; Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Welfare and Poverty. 17192 words.

Abstract

Distributional comparative statics is the study of how individual decisions and equilibrium outcomes vary with changes in the distribution of economic...