 Determinants of downside risk exposure: An analysis of Korean rice farms using partial and quantile momentsKedar Kulkarni and David Rossi Applied Economic Perspectives and Policy, 2023, vol. 45, issue 3, 1356-1373 Abstract: The past decade has seen a resurgence in methods such as the partial and quantile moments model for measuring downside risk exposure and downside risk aversion. However, mixed conclusions are drawn regarding the identification and determinants of downside risk exposure attributable to the methodological differences in the approaches to risk estimation. In this paper, we replicate Kim et al. (2014) who perform a quantile moments‐based analysis of risk exposure. Extending the original study, we address the methodological differences in approaches to measuring downside risk with further robustness checks, including alternative estimation approaches and a comparison to the partial moments model (Antle, 2010). Our results confirm the original finding of Kim et al. (2014) that around 90% of the cost of risk is attributable to downside risk exposure. However, this estimate is highly sensitive to the specification of the estimated mean production as well as the choice of the statistical estimator. Finally, our results suggest that both the quantile moments model and the partial moments model provide similar insights on the determinants of downside risk exposure as well as the cost of risk. Date: 2023 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:apecpp:v:45:y:2023:i:3:p:1356-1373 Access Statistics for this article More articles in Applied Economic Perspectives and Policy from John Wiley & Sons |
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