| 国际农产品价格波动风险研究 |
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| 引用本文： | 何启志.国际农产品价格波动风险研究[J].财贸研究,2010,21(5):63-69. |
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| 作者姓名： | 何启志 |
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| 作者单位： | 南京大学,商学院,江苏,南京,210093;安徽财经大学,现代金融研究所,安徽,蚌埠,233030 |
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| 基金项目： | 安徽省高等学校省级自然科学基金项目 |
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| 摘 要： | 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。
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| 关 键 词： | 农产品价格 价格波动 风险测度 |
Research on Risk of Price Fluctuations of International Agricultural Products |
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| HE Qi-zhi.Research on Risk of Price Fluctuations of International Agricultural Products[J].Finance and Trade Research,2010,21(5):63-69. |
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| Authors: | HE Qi-zhi |
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| Institution: | HE Qi-zhi(School of Business,Nanjing University,Nanjing 210093,Institute of Modern Finance,Anhui University of Finance , Economics,Bengbu 233030) |
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| Abstract: | 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,t... |
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| Keywords: | agricultural product price volatility risk measurement |
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