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농촌경제

THE STABLE DISTRIBUTION OF AGRICULTURAL CASH PRICE CHANGES

2005.01.01 10248
연구보고서 표지
  • 저자
    진현정
  • 등록일
    2005.01.01
  • 연구주제
    농업정책일반
원문보기
목차

I. Introduction
II. A Brief Review of the Stable Distribution
III. Data
IV. Empirical Results
V. Conclusions

요약문

The Gaussian assumption is easy to apply to economic analyses and many of its properties have been revealed to economists so that the distributional hypothesis has been embraced in economic and financial analyses, despite the fact that empirical evidences show distinct anomalies from the normal distribution. This study shows that the distributions of major U.S. agricultural commodity cash price changes are significantly different from normality. They have fatter tails and hither peaks than the normal distribution. The leptokurtic behaviors of the cash price changes are effectively captured by the stable distribution rather than the normal distribution. At the same time, when real data correspond to the stable distribution, variance may not be an effective scale parameter of the data. This raises a necessity of finding other alternatives to the traditional second moment.

The Gaussian assumption is easy to apply to economic analyses and many of its properties have been revealed to economists so that the distributional hypothesis has been embraced in economic and financial analyses, despite the fact that empirical evidences show distinct anomalies from the normal distribution. This study shows that the distributions of major U.S. agricultural commodity cash price changes are significantly different from normality. They have fatter tails and hither peaks than the normal distribution. The leptokurtic behaviors of the cash price changes are effectively captured by the stable distribution rather than the normal distribution. At the same time, when real data correspond to the stable distribution, variance may not be an effective scale parameter of the data. This raises a necessity of finding other alternatives to the traditional second moment.

저자정보
진현정Jin, Hyunjoung
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목록으로
다음글
AGRICULTURAL DEVELOPMENT POLICIES OF CAMBODIA SINCE 1990'S
이전글
GLOBAL GRAIN TRADES:CHALLENGES AND OPPORTUNITIES