nep-cfn 2009-05-16 papers

on Corporate Finance

Issue of 2009‒05‒16
two papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

Measurement of Farm Credit Risk: SUR Model and Simulation Approach By Yan, Yan; Barry, Peter; Paulson, Nicholas; Schnitkey, Gary
Changes in Debt Patterns and Financial Structure of Farm Businesses: A Double Hurdle Approach By Harris, J. Michael; Dillard, John; Erickson, Ken; Hallaham, Charles

Measurement of Farm Credit Risk: SUR Model and Simulation Approach

By:	Yan, Yan; Barry, Peter; Paulson, Nicholas; Schnitkey, Gary
Abstract:	The study addresses problems in measuring credit risk under the structure model, and then proposes a seemingly unrelated regression model (SUR) to predict farmsâ ability in meeting their current and anticipated obligations in the next 12 months. The empirical model accounts for both the dependence structure and the dynamic feature of the structure model, and is used for estimating asset correlation using FBFM data for 1995-2004. Farm credit risk is then predicted by copula based simulation process with historical default rates as benchmark. Results are reported and compared to previous studies on farm default.
Keywords:	Credit Risk Measurement, Seemingly Unrelated Regression Model, Simulation, Agribusiness, Agricultural Finance, Farm Management, Research Methods/ Statistical Methods, Risk and Uncertainty,
Date:	2009
URL:	http://d.repec.org/n?u=RePEc:ags:aaea09:49222&r=cfn

Changes in Debt Patterns and Financial Structure of Farm Businesses: A Double Hurdle Approach

By:	Harris, J. Michael; Dillard, John; Erickson, Ken; Hallaham, Charles
Abstract:	This paper uses a double hurdle model to help explain one aspect of the the changing capital structure of U.S. production agriculture--the increase in the number of debt free farms. Our findings suggest that nonfinancial factors, such as operator age, region, risk aversion, and financial factors such as debt service ability and the cost of capital play significant roles in distinguishing borrowers from non borrowers.
Keywords:	farm debt, farm credit, double-hurdle model, farm businesses, Agricultural Finance,
Date:	2009–07
URL:	http://d.repec.org/n?u=RePEc:ags:aaea09:49402&r=cfn

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