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1、CentreforRiskStudiesp三UniversityofPCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomries.riskj6s.cam.ac.ukhttp，WWW.risk.jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportp
2、rovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanag
3、ementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor*what-ifstudiesanddonotconstituteforecastsofwhatislikelytohappen.FoodandOilPriceSpiralStressTestScenarioHighInflati
4、onWorldContents1ExecutiveSummary42 DefiningtheScenario83 HighInflationasaFinancialCatastrophe124 DefiningtheScenario155 TheScenario176 MacroeconomicAnalysis197 ImpactonInvestmentPortfolio258 MitigationandConclusions329 Bibliography33FoodandOilPriceSpiralStressTestScenarioHighInflationWorld1Executive
5、SummaryInthefollowingreport,wepresentanarrativeofhowglobalinflationarypressureoverseveralyearsimpactstheworldeconomyandfinancialmarkets.Thisprovidesabasisforaglobalenterprisetotestitsoperationalandstrategicmodel,asasteptowardimprovingitsresilience.Scenariosmoregenerallycanbeusedtocoverthespectrumofe
6、xtremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.1HighInflationWorldScenarioThisscenarioemdsionscostshocksinresponsetoshrinkingglobaloilsuppliesand,simultaneously,disruptionstocropproductionthatleadtoglobalfoodshortages.Theseinflationarydriver
7、spersistovermanymonths,causinginternationaleconomicandhumanitarianpressures.Theeconomicimpact,expressedaslostglobalGrossDomesticProductoverfiveyears,comparedwiththeprojectrateofgrowth(GDPRiSk)，isbetween$4.9,$8and$10.9trillion,dependingontheseverityofthecommoditypriceshock.TheGreatRecessionof2007-201
8、1,comparatively,sawalossof$20trillionin2015dollarestimates.Inthisperspective,althoughtheHighInflationWorldScenarioinflictssevereeconomicloss,thecatastrophedoesnotpreventtherecoveryoftheglobaleconomyovertime.HighInflationasaFinancialCrisisScenarioselectionInflationistiedtotherelationshipbetweenaggreg
9、atesupplyanddemand.Cost-pushdescribesasupplyshortage,e.g.,duetoadisruptioninproductionofacommodity.Demand-pulldescribesincreasingdemand,perhapsresultingfromalooseningofcredit.Inbothcases,inflationofcommoditypricesoccurs.TheHighInflationWorldScenarioisacost-pushsituationdrivenbyrelativescarcityofboth
10、oilandagriculturalcommodities.Thefinalimpactofthesepricehikesdependsheavilyonthelevelofexposureacountryhastoeachcommodity.,CambridgeCentreforRiskStudies,uATaxonomyofThreatsforComplexRiskManagement*,2014Nonetheless,thedirectimpactofaglobalhighinflationisthecorrespondingincreaseinUnemPlOymentrates,alb
11、eitvaryingseverity,acrossmajoreconomies.VariantsofthescenarioWecalibratethreevariantsofthescenariousingdifferentlevelsofinflationforfoodandenergyprices.InourstandardscenarioSi,commoditypricesjumpbetween180and210%ofthepre-existingpricelevels,withpricespeakingaround15monthsaftertheinitialshock.Scenari
12、ovariantS2andextremevariantXiaresimilartothestandardscenario,butthecommoditypriceincreasesareraisedupto280and440%,respectively.ThescaleoflossinflictedbytheHighInflationWorldScenariohasbeencalibratedtocorrespondapproximatelytoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicato
13、rsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativeasaresultofcatastrophe.InthecaseoftheHighInflationWorldScenario,however,ouranalysisdoesnotshowextremebehaviourineitherofthesecategories.US(UK)equitiesoverthelasttwoh
14、undredyears Prior to records from FTSE and S&P, We use surrogate stocks such as those from American railroad stock prices and other constructed indexes. We use similar surrogate data for estimating growth rates prior to the availability of standardised data. Our identification of%iles uses a normal
15、curve fitting which is conservative in light of the fat tails associated with equity price distributions.haveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesarebarelyeffectedotherthanintheextreme
16、Xivariantinwhichequityreturnratesare-8%intheUSand-4%intheUK.Nearzeroeconomicgrowthratesarefoundinourscenariosbutthesedon,tcomparetothehistoricalrecordforUS(UK)growthratesbeingbelow-7%(-3%),whichare1-in-20yearevents,orratesbelow-13%(-5%)whichhappenseverycentury.Thisisastresstest,notapredictionThisrep
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