국제 곡물가격 변동성의 구조변화 검증

영문 제목
Testing for Structural Changes in Volatility of International Grain Prices
저자
김상환성명환윤병삼
출판년도
2012-04-21
초록
The agricultural commodity price spike of 2006-2008 has spurred fears of global food insecurity and raised concerns of structural changes in the agricultural market environment. Extreme price volatility of agricultural commodities poses a major threat to both producers and consumers in developed and developing countries. The primary objective of the study is to test the structural changes in volatility of international grain prices. The empirical results show that a single structural change in volatility occurred in wheat and corn market over the 2000-2010 period, specifically on September 20, 2006 and May 24, 2006, respectively. For soybean market, multiple structural changes in volatility occurred during the period 2000-2010, specifically on September 24, 2003, August 3, 2005, and July 11, 2007. To cope with high price volatility in agricultural markets, policy measures should improve market functioning and increase countries' readiness to respond to external shocks.
The agricultural commodity price spike of 2006-2008 has spurred fears of global food insecurity and raised concerns of structural changes in the agricultural market environment. Extreme price volatility of agricultural commodities poses a major threat to both producers and consumers in developed and developing countries. The primary objective of the study is to test the structural changes in volatility of international grain prices. The empirical results show that a single structural change in volatility occurred in wheat and corn market over the 2000-2010 period, specifically on September 20, 2006 and May 24, 2006, respectively. For soybean market, multiple structural changes in volatility occurred during the period 2000-2010, specifically on September 24, 2003, August 3, 2005, and July 11, 2007. To cope with high price volatility in agricultural markets, policy measures should improve market functioning and increase countries' readiness to respond to external shocks.
목차
1. 서론2. 분석 자료3. 분석 방법4. 분석 결과5. 요약 및 결론
서지인용
page. 29 - 48
발행처
한국농촌경제연구원
주제어
가격변동성; EGARCH; 변동성 구조변화; 누적합 검정; price volatility; EGARCH; Exponential GARCH; structural change in volatility; CUSUM test
발간물 유형
KREI 논문
URI
http://repository.krei.re.kr/handle/2018.oak/19933
Appears in Collections:
학술지 논문 > 농촌경제 / JRD
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