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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。
In order to explore the price risk management in the international grain market, this study constructs the basic model of the international grain market price risk assessment, establishes the international grain market price fluctuation sequence, fits the probability distribution of the international grain market volatility and calculates the VaR of the international grain market ). The empirical analysis of the price risk in the international rice, corn, wheat and soybean markets shows that: the normal distribution is not the optimal probability distribution model of the international grain market volatility, and the international grain market fluctuation is subject to Lognormal, Log-logistic And Burr distribution. On the whole, the price risk in the international grain market is more serious, with the risk of rising more than the risk of falling. In terms of specific varieties, the market price risk of international rice is the largest with the rising and falling VaR reaching 69.23% And 34.31%, far higher than corn, wheat and soybeans.