Measuring country exposure to commodity price uncertainty
提出一种量化国家在农产品价格冲击中暴露程度的方法，将贸易组合视为投资组合，基于价格冲击的方差协方差和净进出口权重衡量风险，对17个国家的9种大宗商品实施分析，发现低收入初级出口国面临的风险远高于其他国家。
An approach to the quantification of national exposure to price shocks in agricultural commodities is presented, as well as exposure to shocks in the prices of specific goods in the nation's trade bundle. This bundle is treated as a portfolio, and the risk is measured on this basis. These measures involve the variances and covariances of price shocks and net import/export weights. In order to characterize the price uncertainty, ARIMA models are fitted to the price series, and the associated residuals are used to obtain the required variances and covariances. This approach is implemented for the agricultural balance of trade in nine major international commodities for seventeen countries. The countries were chosen to represent a mix of development levels and strategies: industrialized, low income with industrial base, low income primary exporters and non-market economies. We find that low income primary exporters are subject to risk which is dramatically higher than the other participants in the system. For the remaining countries, no clear pattern emerges between, for example, North and South or market economies versus non-market economies.