Determinants of downside risk exposure: An analysis of Korean rice farms using partial and quantile moments

Kulkarni, Kedar and Rossi, David (2023) Determinants of downside risk exposure: An analysis of Korean rice farms using partial and quantile moments. Applied Economic Perspectives and Policy, 45 (3). pp. 1356-1373. ISSN 2040-5790

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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.

Item Type:	Article
Authors:	Kulkarni, Kedar and Rossi, David
Document Language:	Language English
Subjects:	Social sciences > Economics > Financial economics Social sciences > Economics > Production Natural Sciences > Mathematics
Divisions:	Azim Premji University - Bengaluru > School of Arts and Sciences
Full Text Status:	None
URI:	http://publications.azimpremjiuniversity.edu.in/id/eprint/7026
Publisher URL:	https://doi.org/10.1002/aepp.13320

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