Agricultural Commodity Price Volatility: An Overview
AbstractRecent 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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Bibliographic InfoPaper provided by OECD Publishing in its series OECD Food, Agriculture and Fisheries Papers with number 52.
Date of creation: 06 Dec 2011
Date of revision:
price volatility; agricultural markets; correlation and causality;
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