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On the determinants of food price volatility

Author

Listed:
  • Kuhanathan Ano Sujithan

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Sanvi Avouyi-Dovi

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, Banque de France - Banque de France)

  • Lyes Koliai

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we investigate the determinants of price volatility for six major food commodities from January 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oil prices and financial markets indicators are commonly considered to be the main drivers of price volatility. We identify and analyse the relationships between these macroeconomic and financial factors and our commodities within a Bayesian multivariate framework. Then we assess the effect of each factor on food volatility in the recent period. We show that, although results depend on food commodities, they are consistent with those available in the latest studies. In other words, the two most recent surges in food prices do not significantly change the dynamics of these prices. We have also performed an analysis of the effects of certain shocks on food commodity markets. These exercises do not reveal the existence of coherent groups of food commodities.

Suggested Citation

  • Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2014. "On the determinants of food price volatility," Post-Print hal-01511900, HAL.
    • Handle: RePEc:hal:journl:hal-01511900
    Note: View the original document on HAL open archive server: https://hal.science/hal-01511900
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    References listed on IDEAS

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    3. Salome Gelashvili & Phatima Mamardashvili, 2017. "Measuring Food Price Volatility in Georgia," Working Papers 007-17, International School of Economics at TSU, Tbilisi, Republic of Georgia.

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