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Agricultural Commodity Price Volatility: An Overview

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  • Marilyne Huchet-Bourdon

Abstract

Recent years have witnessed a sharp increase in many commodity prices. This report examines the question of whether commodity price volatility has materially changed with the rapid run up in world prices in 2006-09, followed by an equally sharp decline in many commodity prices. The report analyses international price volatility for selected agricultural commodities over the past half-century and their relationship with crude oil, fertiliser and the euro-dollar exchange rates. The analysis utilises different data sources, frequency of price observations, periods of observation, price volatility measures and a number of statistical tests to examine the various dimensions of the issue.

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File URL: http://dx.doi.org/10.1787/5kg0t00nrthc-en
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Bibliographic Info

Paper provided by OECD Publishing in its series OECD Food, Agriculture and Fisheries Papers with number 52.

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Date of creation: 06 Dec 2011
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Handle: RePEc:oec:agraaa:52-en

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Keywords: price volatility; agricultural markets; correlation and causality;

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Cited by:
  1. von Braun, Joachim & Tadesse, Getaw, 2012. "Global Food Price Volatility and Spikes: An Overview of Costs, Causes, and Solutions," Discussion Papers, University of Bonn, Center for Development Research (ZEF) 120021, University of Bonn, Center for Development Research (ZEF).
  2. Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
  3. Kornher, Lukas & Kalkuhl, Matthias, 2013. "Food price volatility in developing countries and its determinants," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156132, German Association of Agricultural Economists (GEWISOLA).
  4. Tharcisse NKUNZIMANA & François Kayitakire, 2013. "Measuring food price volatility and transmission in West Africa: How important are magnitudes of transmission across cereals and countries?," EcoMod2013 5219, EcoMod.
  5. Ederer, Stefan & Heumesser, Christine & Staritz, Cornelia, 2013. "The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil," Working Papers 42, Österreichische Forschungsstiftung für Internationale Entwicklung (ÖFSE) / Austrian Foundation for Development Research.

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