| 摘要: |
| 为探讨国际粮食市场价格风险管理,本研究构建了国际粮食市场价格风险评估的基本模型,建立国际粮食市场价格波动序列,拟合国际粮食市场价格波动概率分布和计算国际粮食市场的风险价值(VaR)。通过对国际大米、玉米、小麦和大豆市场价格风险的实证分析,结果表明:正态分布并不是国际粮食市场价格波动的最优概率分布模型,国际粮食市场价格波动表现为服从Lognormal、Log-logistic和Burr分布;就整体而言,国际粮食市场价格风险较为严重,上涨的风险要大于下跌的风险;就具体品种而言,国际大米的市场价格风险最大,其上涨和下跌的VaR分别达到69.23%和34.31%,远高于玉米、小麦和大豆。 |
| 关键词: 国际粮食市场 价格风险 风险评估 VaR |
| DOI：10.11841/j.issn.1007-4333.2011.04.025 |
| 投稿时间：2011-01-21 |
| 基金项目:国家"十一五"科技支撑计划重点项目(2009BADA9B01); 农业部市场监测预警财政专项 |
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| Study on the evaluation of price risk for grain ininternational market |
|
XU Lei, ZHANG Qiao
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| (Agricultural Information Institute/Key Laboratory of Intelligent Agricultural Early Warning Technology of Ministry of Agriculture,Chinese Academy of Agricultural Sciences,Beijing 100081,China) |
| Abstract: |
| To provide technical support for grain price risk management in international market,in this paper,a basic evaluation model of price risk for grain in international market was constructed,which can be shown as obtaining price fluctuation series of grain in international market,modeling the probability distribution of price fluctuation series,calculating the VaR of grain price risk.Empirical analysis and results show that the normal distribution is not the best distribution model that fits price risk for rice,maize,wheat and soybean in international market where the price fluctuation is subjected to the distribution of Lognormal,Log-logistic and Burr correspondingly.On the whole,price risk for grain in international market is severe,and the risk of price rise is higher than that of price fall.In terms of specific grain,rice shows the highest price risk with VaR of the price rise and fall reaching 69.23% and 34.31% respectively,which is much higher than that of maize,wheat and soybean in international market. |
| Key words: international grain market price risk risk assessment Value at Risk(VaR) |
