Study On Measurement Of Soybean Price Risk In China

Soybean is an important commodity,which has the strategic significance on supporting the economic development and guaranteeing the food security in China.Faced to the complex and volatile international situation and the downward pressure of domestic economy,the Chinese government has introduced a series of flexible economic policy.Existing studies have shown that economic policy uncertainty affects the decision-making of market players,and reflects the prices through supply and demand,resulting in abnormal fluctuations of soybean prices.Generally speaking,the abnormal fluctuations of price will lead to the price risk.Therefore,it is of great significance to study the relationship of economic policy uncertainty with soybean price fluctuation and soybean price risk.Based on the analysis of the effects of economic policy uncertainty on domestic soybean price fluctuation using the GARCH family models,the study used value at risk(Va R)and expected shortfall(ES)to measure the domestic soybean price risk.The empirical results show that economic policy uncertainty does not affect the soybean price fluctuations.Chinese soybean price return series has the characteristics of leptokurtosis and thick tail,which shows that the probability of extreme risk is greater on Chinese soybean market.The estimation results of the soybean price volatility model show that the IGARCH-sged model fits best to the soybean price return series.Using IGARCH-sged model to calculate Va R and ES values,it is found that ES can better measure the tail risk of soybean price compared with Va R.In order to better cope with the price risk of soybean,this study puts forward the following suggestions:increase domestic soybean production and reduce the dependence on imports;strengthen the construction of soybean market price risk monitoring and early warning system;expand the channels for transmitting soybean price information;improve the soybean price risk management system and enhance the risk response ability of relevant subjects.