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, although most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. 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 are less volatile than those of individual manufactured goods. However, the challenges of managing terms of trade volatility in developing countries with concentrated export baskets remain.
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Bibliographic InfoPaper provided by The World Bank in its series Policy Research Working Paper Series with number 5903.
Date of creation: 01 Dec 2011
Date of revision:
Markets and Market Access; Emerging Markets; Commodities; E-Business; Access to Markets;
Other versions of this item:
- Rabah Arezki & Daniel Lederman & Hongyan Zhao, 2011. "The Relative Volatility of Commodity Prices: A Reappraisal," IMF Working Papers 11/279, International Monetary Fund.
- 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
This paper has been announced in the following NEP Reports:
- NEP-AGR-2011-12-19 (Agricultural Economics)
- NEP-ALL-2011-12-19 (All new papers)
- NEP-OPM-2011-12-19 (Open Economy Macroeconomic)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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