This paper examines the impact of technical efficiency on the optimal exit timing of farms in a stochastic dynamic framework. Starting from a standard real options approach, we incorporate technical efficiency via a production function and derive an optimal price trigger at which farms...

We analyze the speed of mean reversion (k) in the convenience yield and the spot price volatility for 7 US commodities between 1989-2012. In the hog market k is large, soybeans exhibit the lowest values. While for 5 of 7 commodities κ is lower in the more recent period (2005-2012) than in the...

In this paper we analyse agricultural land prices in the state Brandenburg. Our objective is to understand the price formation in foreclosures. Knowledge of the impact of foreclosures is desirable for the determination of mortgage lending values. The effect of foreclosures can be decomposed into...

Changes in the political, economic and legal framework after reunification led to major structural changes in East German agriculture. Altered factor and product price relations, abolition of traditional channels of distribution and problems with liquidity forced existing farms to adjust their...

Many business people such as farmers and financial investors are affected by indirect losses caused by scarce or abundant rainfall. Because of the high potential of insuring rainfall risk, the Chicago Mercantile Exchange (CME) began trading rainfall derivatives in 2011. Compared to temperature...

Replaced with revised version of paper 06/17/08.

German hog production only responds in a very limited way to price fluctuations in the pork market. The hog production concentrates on a few regions though it is not bound to special natural conditions such as soil quality. Furthermore, the volume of production does not vary over time....

Purpose – The purpose of this paper is to review some challenges of insuring weather risk in agriculture and to discuss potential remedies for these problems. Design/methodology/approach – The paper is developed as a narrative on weather insurance based largely on existing literature....

Purpose – The authors' paper aims to deal with the question whether speculative bubbles are present in agricultural commodity prices. Design/methodology/approach – The authors apply a regime switching regression model to test the hypothesis that agricultural prices contain periodically...

This study examines rainfall variability and its implications for wheat production risk in northeast Germany. The hedging effectiveness of rainfall options and the role of geographical basis risk are analyzed using a daily precipitation model. Simpler pricing methods such as the burn analysis...