The Relative Volatility of Commodity Prices: A Reappraisal
AbstractThis paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather the literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 11/279.
Date of creation: 01 Dec 2011
Date of revision:
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Other versions of this item:
- Arezki, Rabah & Lederman, Daniel & Zhao, Hongyan, 2011. "The relative volatility of commodity prices : a reappraisal," Policy Research Working Paper Series 5903, The World Bank.
- Rabah Arezki & Daniel Lederman & Hongyan Zhao, 2011. "The Relative Volatility of Commodity Prices: A Reappraisal," CESifo Working Paper Series 3694, CESifo Group Munich.
- Rabah Arezki & Daniel Lederman & Hongyan Zhao, 2012. "The Relative Volatility of Commodity Prices: A re-appraisal," OxCarre Working Papers 070, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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