This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...

This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using "fan charts." These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result of uncertain economic conditions and policies. We propose a simulation algorithm...

A simplified version of the BEAM Rubber Agroforestry Model is embedded in a dynamic economic model to examine the impact of uncertainty about prices and climate on decision variables. Solutions, in terms of optimal levels for decision variables are found using a Monte Carlo stochastic framework....

"In the context of on-going market reform in developing countries, there is a need for an improvement in the existing methods of spatial market efficiency analysis in order to better inform the debate toward designing and implementing new grain marketing policies, institutions, and...

"This paper investigates the effects of wheat genetic diversity and land degradation on risk and agricultural productivity in less favored production environments of a developing agricultural economy. Drawing production data from household survey conducted in the highlands of Ethiopia, we...

Does a worker who had a successful career have stronger or weaker incentives to manipulate his reputation than a worker who performed poorly? This paper presents a tractable model that allows us to study career concerns when the strength of a worker’s incentives depends on his employment...

The authors show that in weakly identified models (1) the posterior mode will not be a consistent estimator of the true parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and frequentist confidence sets will not coincide...

Weather fluctuations, such as those caused by the El Niño Southern Oscillation (ENSO), add to the riskiness associated with agricultural production. Improved predictive capacity may help ameliorate negative impacts of climate and weather shocks on agriculture, but it is possible that the...

We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as real, asymmetric random matrices where the time-shift superimposes some structure. We demonstrate that, for...