determinants of off farm work and its effects on farm performance the case of norwegian grain farmers limited attention has been given in the literature to the impact of off farm work on farm performance more knowledge about the determinants of part time farming and its effects on farm performance could help policymakers to introduce better targeted rural development policies the aim in this article is to fill part of the above mentioned gaps by analyzing factors that influence the choices of off farm work by either the farmer alone or jointly by both the farmer and partner and simultaneously examining how off farm work influences farm performance these analyses were based on an unbalanced panel data set from norwegian grain farms during 1991 to 2005 among the determinants of off farm work hours we found that in addition to demographic time trend and some regional effects there was a significant negative effect of farm output on farmers off farm work hours the production function results revealed that off farm work had a positive effect on farm output at first increasing but then decreasing with increase in hours spent in off farm work furthermore our analysis revealed no systematic effect of off farm work on farm technical efficiency

returns to micro entrepreneurship in an emerging economy a quantile study of entrepreneurial indonesian households welfare presenting low individual returns but providing households with livelihoods and means to cope with economic vulnerability micro entrepreneurship s evaluation should include both context and heterogeneity using a four wave panel of 9 157 indonesian households this study proposes a quantile estimation of micro entrepreneurship s effects on four household level complementary measures of welfare income consumption household and total assets it evidences substantial positive but decreasing effects on the four measures with the highest relative returns for the poorest for this category micro entrepreneurship primarily provides returns in the form of income translating into higher relative consumption but more importantly into a greater relative assets accumulation

rural nonfarm employment and incomes in latin america overview and policy implications abstract rural nonfarm employment rnfe and incomes rnfi are crucial to latin american rural households the 11 rural household income studies in this volume reviewed in this paper use 1990s data and show that rnfi averages 40 of rural incomes rnfi and rnfe have grown quickly over the past three decades the review of evidence provided some surprising departures from traditional images of nonfarm activities of latin american rural households in terms of shares of rural incomes 1 nonfarm wage incomes exceed self employment incomes 2 rnfi far exceeds farm wage incomes 3 local rnfi far exceeds migration incomes 4 service sector rnfi far exceeds manufactures rnfi these findings suggest the need for more development program attention to wage employment in the service sector versus the traditional focus on small enterprise manufactures moreover poor households and zones tend to have higher shares in their incomes but lower absolute levels of rnfi as compared to richer households and zones the rnfe of the poor tend to be the low paid nonfarm equivalent of semi subsistence farming raising the capacity of the poor to participate in the better paid types of rnfe is crucial via employment skills training education infrastructure credit finally rnfe has grown fastest and been most poverty alleviating where there are dynamic growth motors in particular in the agricultural sector but also in tourism links to urban areas mining and forestry this means that developing rnf jobs cannot be done at the expense of programs promoting agricultural development

nonfarm employment and poverty in rural el salvador abstract this paper analyzes two complementary data sets to study poverty and the nonfarm sector in rural el salvador we find that rural poverty in el salvador remains acute and significantly higher than in urban areas while the rural poor are mainly agricultural laborers and marginal farmers some nonfarm activities are also of importance to the poor in fact nonfarm activities in el salvador account for a significant share of rural employment and income for both the poor and the nonpoor the poor on the one hand are engaged in last resort nonfarm activities that are not associated with high levels of labor productivity the nonpoor on the other are engaged in productive nonfarm activities which are likely to present a potent force for upward mobility significant correlates of these high productivity occupations include education infrastructure location and gender while most of the analysis is at the household level the data also permit some focus on small scale rural enterprise activities it appears that in el salvador very few rural enterprises report utilizing formal credit in setting up their activities in addition a significant proportion of enterprises are engaged in subcontracting arrangements with some larger often urban based firm

intersectoral transfer growth and inequality in rural ecuador abstract in this paper we study intersectoral transfer and its impact on the distribution of income in ecuador we find that income shares between farm and nonfarm activities are roughly equal on average although the rich in rural areas typically receive a greater share of income from nonfarm sources thus decomposing inequality by income source reveals that a rise in nonfarm incomes increases inequality drawing on a new method to estimate local level distributional outcomes growth of the high productivity nonfarm sector is observed to have a strong and positive association with average consumption and inequality growth of the low productivity nonfarm sector is associated with little change in either average income or income inequality irrespective of subsector growth of the nonfarm sector is associated with a substantial fall in poverty

non agricultural earnings in peri urban areas of tanzania evidence from household survey data abstract this study draws on purposive survey data of approximately 600 households in peri urban tanzania to describe the degree and nature of non farm diversification in these settings with the exception of relatively dynamic cities such as dar es salaam and arusha overall non farm incomes shares are not unambiguously higher than in rural areas as a whole non farm income shares rise sharply and monotonically with quintiles defined in terms of per capita food consumption in that sense the sector appears to offer an important route out of poverty the evidence suggests that education and access to infrastructure are important determinants of non farm incomes in peri urban areas women appear to be poorly placed vis a vis the non farm sector even after controlling for education age and other characteristics kinship and tribal affinities and time devoted to communal activities appear to deter entrepreneurial activity and non farm employment but trust in officials and public servants and strong heterogeneous village associations are important in stimulating non farm activity

stochastic convenience yield and the pricing of oil contingent claims this paper develops and empirically tests a two factor model for pricing financial and real assets contingent on the price of oil the factors are the spot price of oil and the instantaneous convenience yield the parameters of the model are estimated using weekly oil futures contract prices from january 1984 to november 1988 and the model s performance is assessed out of sample by valuing futures contracts over the period november 1988 to may 1989 finally the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time

economic linkages relative scarcity and commodity futures returns this paper shows that economic linkages among commodities create a source of long term correlation between futures returns we extend the theory of storage to a multi commodity level and find that the convenience yield of a commodity depends on its relative scarcity with respect to other related commodities this implies a feedback effect between commodities that is necessary to replicate the upward sloping correlation term structure of futures returns observed for related commodities we present a multi commodity affine model that validates our theoretical predictions and considerably reduces the pricing errors in out of sample crack spread options the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

skills schooling and household income in ghana this article examines the impact of cognitive skills on the income of households in ghana it uses scores on mathematics and english tests to measure cognitive skills and estimates the returns to these skills based on farm profit off farm income and total income the article uses powell s censored least absolute deviations and symmetrically trimmed least squares estimators to estimate farm and off farm income in contrast to heckman s two step or the tobit estimator powell s estimators are consistent in the presence of heteroscedasticity and are robust to other violations of normality the results show that cognitive skills have a positive effect on total and off farm income but do not have a statistically significant effect on farm income

option valuation with co integrated asset prices abstract this paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co integrated for this purpose a new discrete time model of asset prices is developed a model featuring both the co integration property as well as stochastic volatilities using a garch equilibrium based option pricing approach it is shown that when volatilities are deterministic the option prices do not depend on the co integration parameters except for the mis specification effect as to the manner in which the volatilities are estimated however with stochastic volatilities the option prices explicitly depend upon the co integration parameters in order to understand these results better this paper also examines a continuous time diffusion limit of the asset price system and empirically studies the co integration effect using spread options based upon the s p500 and the nasdaq100 these numerical results suggest that consideration of co integration can substantially alter the value delta and vega of a spread option

long term spread option valuation and hedging this paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are in dynamic equilibrium i e cointegrated the spread exhibits properties different from its two underlying commodity prices and should therefore be modelled directly this approach offers significant advantages relative to the traditional two price methods since the correlation between two asset returns is notoriously hard to model in this paper we propose a two factor model for the spot spread and develop pricing and hedging formulae for options on spot and futures spreads two examples of spreads in energy markets the crack spread between heating oil and wti crude oil and the location spread between brent blend and wti crude oil are analyzed to illustrate the results

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

forward curves scarcity and price volatility in oil and natural gas markets the role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by kaldor kaldor n 1939 speculation and economic stability the review of economic studies 7 1 27 and working working h 1949 the theory of the price of storage american economic review 39 1254 1262 and has since been documented in a vast body of financial literature including the reference paper by fama and french fama e f and k r french 1987 commodity futures prices some evidence on forecast power premiums and the theory of storage journal of business 60 55 73 on metals the goal of this paper is twofold i validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory the slope being defined in a way that filters out seasonality ii analyze directly for these two major commodities the relationship between inventory and price volatility in agreement with the theory of storage we find that i the negative correlation between price volatility and inventory is globally significant for crude oil ii this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas our results are illustrated by the analysis of a 15 year database of us oil and natural gas prices and inventory

parametric and nonparametric statistical modelling of crop yield implications for pricing crop insurance contracts this article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields the premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density these methods were applied to a data set of county yield provided by the statistical and geography brazilian institute ibge for the period of 1990 through 2002 for soybean corn and wheat in the state of parana in this article we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data

rural nonfarm income and its impact on agriculture evidence from albania using data from the 2005 albania living standards measurement study alsms05 survey this article analyzes the overall impact of household nonfarm income generating activities riga on agricultural expenditures as well as technical efficiency of rural farm households we also differentiate the impact for subsistence and commercial farmers who are in the top 25 of the distribution of value of annual agricultural sales our results show that on the whole albanian rural households utilize their nonfarm earnings not to invest in time saving efficiency increasing technologies but to move out of crop production we derive similar findings when we try to estimate the same relation separately for commercial and subsistence farmers however for commercial farmers we find a positive impact of household nonfarm earnings on livestock expenditures

few opportunities much desperation the dichotomy of non agricultural activities and inequality in western kenya summary using data from western kenya we confirm the existence of a dichotomous non agricultural sector the poverty and inequality implications of the differently motivated diversification strategies only partly correspond to expected patterns while high return activities are indeed confined to richer households low return activities constitute an important income source for households across the entire income distribution finally we examine the wider implications of our findings for rural livelihoods we find that only engagement in high return non agricultural activities is significantly associated with increased agricultural productivity it seems that such high return activities play a key role in triggering cumulative effects of relative livelihood success

rural nonfarm employment and incomes in the himalayas abstract nonfarm activities generate on average about 60 of rural households incomes in the himalayas this article analyzes the determinants of participation in nonfarm activities and of nonfarm incomes across rural households a unique data set collected in the himalayan region of india allows us to deal with the heterogeneity of rural nonfarm activities by using aggregations into categories that are useful both analytically and for policy purposes we conduct an empirical inquiry that reveals that education plays a major role in accessing more remunerative nonfarm employment other household assets and characteristics such as land social status and geographical location also play a role

short term variations and long term dynamics in commodity prices in this article we develop a two factor model of commodity prices that allows meanreversion in short term prices and uncertainty in the equilibrium level to which prices revert although these two factors are not directly observable they may be estimated from spot and futures prices intuitively movements in prices for long maturity futures contracts provide information about the equilibrium price level and differences between the prices for the short and long term contracts provide information about short term variations in prices we show that although this model does not explicitly consider changes in convenience yields over time this short term long term model is equivalent to the stochastic convenience yield model developed in gibson and schwartz 1990 we estimate the parameters of the model using prices for oil futures contracts and apply the model to some hypothetical oil linked assets to demonstrate its use and some of its advantages over the gibson schwartz model

the rural non farm economy prospects for growth and poverty reduction summary policy makers have high expectations for the rural non farm economy rnfe given high income shares growing employment and frequently low capital requirements they see the rnfe as a potential pathway out of poverty for their rural poor yet available evidence suggests that pro poor rural non farm growth does not occur automatically for the poor to benefit from rural non farm growth policy makers must stimulate buoyant rural economies with robust non farm income growth not simply low productivity employment moreover the poor must gain access to growing market niches fluid labor markets provide one important bridge linking the rural poor to growing non farm opportunities

rural nonfarm employment and incomes in brazil patterns and evolution abstract in decades past a large contingent of workers left farms and small towns to move to the large cities of brazil but in the 1990s not only has this flow subsided but one even observes an urbanization of rural areas via a large increase in nonfarm activities in rural areas during the 1980s and 1990s especially in the center west and southeast regions of brazil exclusively agricultural rural households have lower incomes than multiactive households those with activities in both the farm and nonfarm sectors and than nonfarm rural households one even notes a significant reduction in the number of purely farm households over 1992 97 in all regions of the country

copula based models of systemic risk in u s agriculture implications for crop insurance and reinsurance contracts the federal crop insurance program has been a major fixture of u s agricultural policy since the 1930s and continues to grow in size and importance indeed it now represents the most prominent farm policy instrument accounting for more government spending than any other farm commodity program the 2014 farm bill further expanded the crop insurance program and introduced a number of new county level revenue insurance plans in 2013 over 123 billion in crop value was insured under the program crop revenue insurance first introduced in the 1990s now accounts for nearly 70 of the total liability in the program the available plans cover losses that result from a revenue shortfall that can be triggered by multiple dependent sources of risk either low prices low yields or a combination of both the actuarial practices currently applied when rating these plans essentially involve the application of a gaussian copula model to the pricing of dependent risks we evaluate the suitability of this assumption by considering a number of alternative copula models in particular we use combinations of pair wise copulas of conditional distributions to model multiple sources of risk we find that this approach is generally preferred by model fitting criteria in the applications considered here we demonstrate that alternative approaches to modeling dependencies in a portfolio of risks may have significant implications for premium rates in crop insurance

arbitrage cointegration and testing the unbiasedness hypothesis in financial markets we use a no arbitrage cost of carry asset pricing model to show that the existence of coin tegration between spot and forward futures prices depends on the time series properties of the cost of carry we argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets explaining many of the empirical results in the literature we also use this model to demonstrate why the forward rate forecast error the basis and the forward premium are serially correlated and to develop econometric tests ofthe unbiasedness hypothesis sometimes called the simple efficiency hypothesis in various financial markets the unbiasedness hypothesis is so prevalent in the finance liter ature that many tests for it have been developed we examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness we find strong support for our hypothesis in the existing empirical literature

economic analysis of the introduction of agricultural revenue insurance contracts in spain using statistical copulas this article aims at determining how the introduction of agricultural revenue insurance contracts in spain will affect the cost of purchasing insurance relative to yield insurance schemes we focus our empirical analysis on the apple and orange sectors in spain statistical copulas are used to jointly model price and yield perils premium rates under revenue and yield insurance are simulated through monte carlo methods results indicate that revenue insurance is likely to reduce the price of agricultural insurance in spain which may result in higher acceptance and demand for agricultural insurance programs

off farm labour allocation decisions in small scale rural households in zimbabwe the double hurdle model is used to analyse the off farm labour decisions of small scale agricultural household members in the shamva district of zimbabwe the approach permits the joint modelling of the decision to participate in the labour market and the decision regarding the amount of time allocated to work results indicate that a number of variables notably gender education and assets indeed have effects which are qualitatively and quantitatively different in terms of participation and hours worked overall the empirical analysis confirms the importance of individual characteristics such as gender and education and household farm characteristics e g land area accessible to the household productive assets remittances and the agricultural terms of trade in influencing the labour market decisions of rural household members

estimating the commodity market price of risk for energy prices the purpose of this paper is to estimate the market price of risk mpr for energy commodities the ratio of expected return to standard deviation the mpr sign determines whether energy forward prices are upward or downward biased predictors of expected spot prices we estimate mprs using spot and futures prices while accounting for the samuelson effect we find long term mprs generally positive and short term negative consistent with positive energy betas and hedging respectively in spot electricity markets mprs in day ahead prices agree with short dated futures our results relate risk premia to informed hedging decisions and futures prices to forecast expected prices

pricing of forwards and other derivatives in cointegrated commodity markets abstract we analyze cointegration in commodity markets and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity we present explicit expressions for the term structure of volatility and correlation in the context of our spot price models based on continuous time autoregressive moving average dynamics for the stationary components the term structures have many interesting shapes and we provide some empirical evidence from refined oil future prices at nymex defending our modeling idea motivated from these results we present a cointegrated forward price dynamics using the heath jarrow morton approach in this setting the concept of cointegration is extended to what we call cointegration in the limit which is an asymptotic form of the notion the margrabe formula for spread option prices is shown to hold with an explicit plug in volatility we present several numerical examples showing that cointegration leads to significantly cheaper spread options compared to the complete market case where cointegration disappears with respect to the pricing measure

implications of non farm work to vulnerability to food poverty recent evidence from northern ghana summary using survey data from northern ghana this study seeks to establish the impact of participation in non farm work on the vulnerability of resource poor households to food poverty vulnerability to food poverty is assessed based on expected future food expenditure of households the potential endogeneity problem associated with participation in non farm work by households is overcome using a novel instrumental variable approach analysis of the determinants of expected future food expenditure is done using a standard feasible generalized least squares fgls method demographic and socioeconomic variables location variables and household facilities are included in the model as control variables our study finds that participation in non farm work significantly increased the future expected food consumption thereby alleviating the vulnerability of households to food poverty our study also confirms that current food poverty and future food poverty i e vulnerability to food poverty are not independent from each other non farm work plays a crucial role in providing the means to overcome the risk of food poverty in these resource poor households policies that promote off farm income generating activities such as small businesses and self employment as well as the creation and support of businesses that absorb extra labor from the farm should be encouraged in the study region because households in the study region are exposed to above average levels of hunger and food poverty the study recommends the government of ghana and development partners to take measures that enhance the resilience of these resource poor households

seasonality and the valuation of commodity options price movements in many commodity markets exhibit significant seasonal patterns however given an observed futures price a deterministic seasonal component at the price level is not relevant for the pricing of commodity options in contrast this is not true for the seasonal pattern observed in the volatility of the commodity price analyzing an extensive sample of soybean corn heating oil and natural gas options we find that seasonality in volatility is an important aspect to consider when valuing these contracts the inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors

rural nonfarm activities and poverty in the brazilian northeast abstract this paper combines two complementary data sets to present a disaggregated spatial profile of poverty in the brazilian northeast and to investigate the importance of nonagricultural activities for its rural dwellers we present both univariate and multivariate profiles of nonagricultural employment and discuss its determinants while the main occupational difference between the rural poor and the rural nonpoor in brazil seems to be the greater reliance of the former on paid agricultural employment vis a vis own cultivation rather than access to nonagricultural activities the evidence nevertheless suggests that diversification into this growing sector provides both an important complement to the budgets of the poor and possibly a self insurance mechanism against negative shocks despite the substantial heterogeneity of the sector two general findings are robust returns to education are comparatively high and location in relation to urban areas is an important determinant of both employment and earnings in rural nonagricultural activities

non farm activity household expenditure and poverty reduction in rural vietnam 2002 2008 summary diversifying into non farm activities has been suggested as an effective way out of poverty for rural households in developing countries using the vietnamese household living standards surveys of 2002 2004 2006 and 2008 we test this claim and investigate the effect of non farm sector involvement on poverty and expenditure growth our endogeneity corrected estimates show that an additional household member involved with non farm activity reduces the probability of poverty by 7 12 and increases the household expenditure by 14 over a two year period our findings also indicate that non farm involvement reduces the hours worked on farm but not the household agricultural income

are workers close to cities paid higher nonagricultural wages in rural china in the present study we investigate whether workers close to cities are paid higher non agricultural wages than workers in outlying rural areas we find that workers close to urban areas not only benefit from more opportunities to engage in non agricultural activities but also from better paid jobs in addition distance exhibits a strongly nonlinear impact distance always has a negative impact on wages but the effect is more detrimental the closer the village is to the urban center we also find evidence of urban hierarchy effects workers living close to bigger cities are paid higher wages finally we provide evidence on the transmission channels at work

a two factor cointegrated commodity price model with an application to spread option pricing in this paper we propose an easy to use yet comprehensive model for a system of cointegrated commodity prices while retaining the exponential affine structure of previous approaches our model allows for an arbitrary number of cointegration relationships we show that the cointegration component allows capturing well known features of commodity prices i e upward sloping contango and downward sloping backwardation term structures smaller volatilities for longer maturities and an upward sloping correlation term structure the model is calibrated to futures price data of ten commodities the results provide compelling evidence of cointegration in the data implications for the prices of futures and options written on common commodity spreads e g spark spread and crack spread are thoroughly investigated

assets activities and rural income generation evidence from a multicountry analysis summary this paper examines the links between the assets and the economic activities of rural households in developing countries to provide insight into how the promotion of certain key assets particularly education land and infrastructure influences the economic choices of these households nationally representative data from 15 countries which form part of the rural income generating activities riga database are used in the analysis the results indicate that improved land access is linked to agricultural production and thus will lead households to take on average this path for improving household welfare higher levels of education and greater access to infrastructure appear to be most closely linked to non agricultural wage employment