ERN: Other Econometrics: Applied Econometric Modeling in Agriculture最新文献

{"title":"Railroads and American Economic Growth: a \"Market Access\" Approach","authors":"D. Donaldson, R. Hornbeck","doi":"10.1093/QJE/QJW002","DOIUrl":"https://doi.org/10.1093/QJE/QJW002","url":null,"abstract":"This article examines the historical impact of railroads on the U.S. economy, with a focus on quantifying the aggregate impact on the agricultural sector in 1890. Expansion of the railroad network may have affected all counties directly or indirectly—an econometric challenge that arises in many empirical settings. However, the total impact on each county is captured by changes in that county’s \"market access,\" a reduced-form expression derived from general equilibrium trade theory. We measure counties’ market access by constructing a network database of railroads and waterways and calculating lowest-cost county-to-county freight routes. We estimate that county agricultural land values increased substantially with increases in county market access, as the railroad network expanded from 1870 to 1890. Removing all railroads in 1890 is estimated to decrease the total value of U.S. agricultural land by 60%, with limited potential for mitigating these losses through feasible extensions to the canal network or improvements to country roads. JEL Codes: N01, N51, N71, F1, O1, R1.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131104908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Multi-Modal Analysis of Climate-Economics","authors":"Emmanuel Souganidis","doi":"10.2139/ssrn.2326574","DOIUrl":"https://doi.org/10.2139/ssrn.2326574","url":null,"abstract":"We investigate the qualitative properties of the climate-economic growth model introduced by Brock et al., (2012). We assume that the mean annual distribution of solar radiation energy and the fraction of incoming radiation flux absorbed by the surface have a specific form, and perform a rigorous mathematical analysis when the time scale for temperature is taken to be faster than that of carbon. We analyze the impact of moving welfare weights away from Negishi weights by introducing a simple welfare weights function. We perform a qualitative analysis on the output elasticities of carbon and capital, and examine the way thermal diffusion affects local economic variables and taxes at the equilibrium. We then evaluate the robustness of the two- and four-mode forms in the context of the temperature model.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127597166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Oil Revenue, Institutions and Macroeconomic Indicators in Nigeria","authors":"Vanessa Ushie, O. Adeniyi, Sabastine Akongwale","doi":"10.1111/j.1753-0237.2012.00229.x","DOIUrl":"https://doi.org/10.1111/j.1753-0237.2012.00229.x","url":null,"abstract":"The influx of massive revenues during periods of abnormally high oil prices creates enormous challenges for policy‐makers in oil‐producing countries. In Nigeria, the prudent utilisation of oil revenues has remained elusive for policy‐makers over time. While the country has earned sizeable oil revenues from its natural endowment, poverty and income inequality have been persistent. This study tests the sensitivity of several important macroeconomic indicators to oil revenue shocks. We additionally test for the effect of ‘institutional quality’, in recognition of the important role played by the domestic institutional context in shaping the policy responses adopted by successive Nigerian governments to oil windfalls over time. The sensitivity analysis supports the general view that fluctuations in oil revenues have resulted in inflation, lower output growth and real exchange rate appreciation in Nigeria. More importantly, the aforementioned institutional variable is found to be very significant. This finding is consistent with the general assessment of fiscal performance in Nigeria during oil windfalls as being driven by domestic institutional dynamics. Ostentatious public consumption widened fiscal deficits, and government spending has been highly pro‐cyclical during windfall episodes. In conclusion, the study offers appropriate policy recommendations, which could be adopted to enhance the management of future oil windfalls in Nigeria.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121644283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does Oil and Gas Wealth Eat Up Total Wealth? Analyzing the Resource Curse with Measures of Sustainable Wealth","authors":"Wilhelm Althammer, Martin Schneider","doi":"10.2139/ssrn.2209127","DOIUrl":"https://doi.org/10.2139/ssrn.2209127","url":null,"abstract":"The findings of empirical studies on the question whether endowments with natural resources are a curse or a blessing are ambiguous. The majority of studies found that resource rich countries grow slower than their resource scarce counterparts (“resource curse”). In recent studies, this negative effect on economic performance has been questioned; the effect of resources seems to depend on how resource wealth is measured. While most of these studies use the growth of GDP, a flow variable, as the dependent variable, we propose to use the growth of real total wealth, a stock variable. By this, the idea of sustainable development is taken into account. Using this measure in a cross-sectional analysis, we find strong evidence of a resource curse for oil and gas rich countries. The higher the share of oil and gas wealth in total wealth per capita in 1995, the worse the growth in total wealth per capita a decade later.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116915283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Exploring Oil Price — Exchange Rate Nexus for Nigeria","authors":"Z. Muhammad, H. Suleiman, Reza Kouhy","doi":"10.1111/j.1753-0237.2012.00219.x","DOIUrl":"https://doi.org/10.1111/j.1753-0237.2012.00219.x","url":null,"abstract":"This paper investigates the oil price – exchange rate nexus for Nigeria during the period 2007-2010 using daily data. The generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH) models are employed to examine the impact of oil price changes on the nominal exchange rate .The outcome of this research indicates that a rise in oil prices leads to a depreciation of the Nigerian Naira vis-a-vis the US dollar over the study period.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129549475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Effects of Temperature Uncertainty on the Valuation of Geothermal Projects: A Real Options Approach","authors":"Andreas Knaut, R. Madlener, C. Rosen, C. Vogt","doi":"10.2139/ssrn.2329563","DOIUrl":"https://doi.org/10.2139/ssrn.2329563","url":null,"abstract":"In this paper we investigate the economic viability of geothermal district heating networks using both net present value (NPV) and real options analysis (ROA). We give an introduction to geothermal energy technologies and review the relevant ROA literature focusing on applications in similar fields, such as oil projects. The similarities and differences of oil and geothermal projects are discussed and summarized. The investment structure of geothermal projects is analyzed concerning costs and uncertainties in the different investment stages. We develop a method to assess the impact of temperature uncertainty with ROA. Investments in geothermal projects are evaluated applying a binomial and a trinomial lattice approach. A novel real options model for the evaluation of normally distributed uncertainty is developed for binomial lattices. Using data obtained from a Dutch project in The Hague, we find positive option values for both lattice approaches, compared to negative values for the common NPV calculation. Drilling and production costs are found to have a significant impact on the option value.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114257483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Downside Risk and the Energy Hedger's Horizon","authors":"T. Conlon, J. Cotter","doi":"10.2139/ssrn.2145831","DOIUrl":"https://doi.org/10.2139/ssrn.2145831","url":null,"abstract":"In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance as the performance metric. This paper investigates whether this result holds for different hedging objectives and effectiveness measures. A wavelet transform is applied to calculate the optimal heating oil hedge ratio using a variety of downside objective functions at different time-horizons. We demonstrate decreased hedging effectiveness for increased levels of uncertainty at higher confidence intervals. Moreover, for each of the different hedging objectives and effectiveness measures studied, we also demonstrate increasing hedging effectiveness at longer horizons. While small differences in effectiveness are found across the different hedging objectives, time-horizon effects are found to dominate confirming the importance of considering the hedgers horizon. The findings suggest that while downside risk measures are useful in the computation of an optimal hedge ratio that accounts for unwanted negative returns, hedging horizon and confidence intervals should also be given careful consideration by the energy hedger.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114124954","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The 'Doomsday' Effect in Climate Policies: Why is the Present Decade so Crucial to Tackling the Climate Challenge?","authors":"B. Perrissin Fabert, E. Etienne, A. Pottier, P. Dumas","doi":"10.2139/ssrn.2160828","DOIUrl":"https://doi.org/10.2139/ssrn.2160828","url":null,"abstract":"Despite growing scientific evidence that passing a 2°C temperature increase may trigger tipping points in climate dynamics, most Integrated Assessment Models (IAM) based on Cost Benefit Analysis (CBA) with smooth quadratic damage functions are unable to account for the possibility of strong increase in climate damage. Our IAM RESPONSE makes it possible to bridge this gap by integrating a threshold effect damage function which sets a threshold of temperature increase from which climate damages increase significantly. To fit with on-going climate negotiations, this threshold is set at 2°C. Regardless of the bleak prospect of passing the threshold, it turns out that among a broad set of scenarios accounting for the diversity of worldviews in the climate debate, overshooting the 2°C target and then facing the resulting damage may become an optimal strategy for many economic agents who are struck by what we call a “doomsday effect”. We show that this effect happens for any level of jump in damage and dramatically increases if the beginning of mitigation efforts is postponed till the decade 2010-2020 on. In light of these results, we believe that any further delay in reaching a clear international agreement will close the window of opportunity for meeting the 2°C target with a reasonable chance of diplomatic success.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126016060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Trade-Offs in CO2-Oriented Vehicle Tax Reforms: A Case Study of Greece","authors":"Adamos Adamou, Sofronis Clerides, T. Zachariadis","doi":"10.2139/ssrn.2016194","DOIUrl":"https://doi.org/10.2139/ssrn.2016194","url":null,"abstract":"We estimate demand for automobiles in Greece using a discrete choice model of product differentiation and use the model to evaluate carbon-based tax schemes that could shift consumer purchases towards low-CO2 cars and thus lead to the reduction of fuel use and CO2 emissions. We find that careful policy design, supported by appropriate modeling, can bring about substantial environmental benefits without losing control of economic parameters such as public finances or firm profits. This finding comes in contrast to the results of recent vehicle tax reforms in European countries, which turned out to be more costly than initially expected. Our analysis indicates that, especially in countries with already heavy vehicle taxation, improper implementation of carbon-based taxes can have adverse unintended environmental consequences.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125170951","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Commodity Index Traders and the Boom/Bust Cycle in Commodities Prices","authors":"David N. Frenk, Wallace C. Turbeville","doi":"10.2139/ssrn.1945570","DOIUrl":"https://doi.org/10.2139/ssrn.1945570","url":null,"abstract":"Since 2005, the public has lived with high and volatile prices for basic energy and agricultural commodities. The public focus on this unprecedented commodity price volatility has been intense, because a large proportion of the cost of living borne by individuals and families in the U.S. (and around the globe) is represented by commodities-based costs, notably food, fuel, and clothing. Interestingly, as commodity prices have shown more price volatility, there has been an accompanying significant increase in the volume of commodities futures and swaps transactions, as well as commodities markets open interest. Moreover, Commodity Index Traders ('CITs'), a relatively new type of participant, now collectively make up the single largest group of non-commercial participants in commodities futures markets. These CITs, which represent giant institutional pools of capital, have at times been the single largest class of participant, outweighing bona fide hedgers (producers and consumers of commodities) and traditional “speculators,” who take short-term bi-directional bets and provide liquidity. Given both the size and the specific and largely homogeneous investment strategy of the CITs, many market observers have concluded that this group is most likely responsible for greatly disrupting price formation in commodities futures markets. Further, it has been posited that this distortion has directly led to recent unprecedented price volatility and higher absolute price levels for numerous food and energy commodities in markets around the world. Using a new set of analytic approaches, the authors seek to test whether the behavior of CITs has impacted commodities prices in a manner independent of fundamental supply and demand forces. Specifically, we examine the behavior of futures price spreads before, during, and after the monthly CIT 'Roll' period, a set period from the 5th to 9th business day of each month, during which funds tracking the most popular commodity index, the Standard & Poor’s Goldman Sachs Commodity Index (GSCI) must roll forward their expiring futures contracts. We find strong evidence that the CIT Roll Cycle systematically distorts forward commodities futures price curves towards a contango state, which is likely to contribute to speculative 'boom/bust' cycles by changing the incentives of producers and consumers of storable commodities, and also by sending misleading and non-fundamental, price signals to the market.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116854058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}