国际农产品价格波动风险研究

Research on Risk of Price Fluctuations of International Agricultural Products

基于GED分布,在多种GARCH类模型族假设下,实证研究国际农产品价格指数对数收益率的均值和波动性。以此为基础,利用VaR模型、ES模型以及后验检验方法计算国际农产品价格波动的风险特征。实证结果表明:国际农产品市场的价格波动性风险比较大;国际农产品市场中极端事件发生的可能性大于正态分布下的可能性;2005年以来,国际农产品价格波动性风险有明显增大的趋势。中国要密切关注国际农产品价格波动情况,并提前做出预测,以避免国际农产品价格的大幅波动造成过大的影响。

Based on GED distribution and some GARCH models,the mean and volatility models of the logarithmic rate of return of the price index of international agricultural product have been studied empirically. The risk characteristics of price index of international agricultural products are empirically studied by using the VaR,ES and posteriori test method. Empirical results show that： In the international agricultural market,as opposed to the normal distribution,extreme events are more likely to occur;Since 2005,the risk of price volatility has a clear increasing trend. The price fluctuations of international agricultural products should be paid close attention to and prediction is made to avoid too great influence of price fluctuations of international agricultural on our country.