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Volatility of primary commodity prices: some evidence from agricultural exports in Sub-Saharan Africa

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Raymond B Swaray
Abstract

This paper utilizes three univariate ARCH-type models to empirically examine persistence and asymmetry in volatility of prices of primary agricultural commodities produced in Sub-Sahara Africa. Maximum likelihood estimation results of the three models ranked the GARCH version as the best statistical fit, lending support for hypotheses of persistence, symmetry and variability in volatility. This pattern of volatility could effectively jeopardize the success of traditional commodity price risk management policies used in this region. Policymakers should appreciate potential benefits associated with market-based strategies for managing commodity exposure of these countries.

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Paper provided by Department of Economics, University of York in its series Discussion Papers with number 02/06.

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Handle: RePEc:yor:yorken:02/06

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Related research
Keywords: GARCH; TGARCH; EGARCH; price volatility; agricultural commodities; Sub-Saharan Africa.;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
O17 - Economic Development, Technological Change, and Growth - - Economic Development - - - Formal and Informal Sectors; Shadow Economy; Institutional Arrangements
Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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  1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  2. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  3. Akiyama, Takamasa & Larson, Donald F. & DEC, 1994. "The adding-up problem : strategies for primary commodity exports in sub-Saharan Africa," Policy Research Working Paper Series 1245, The World Bank. [Downloadable!]
  4. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
  5. Offutt, Susan E. & Blandford, David, 1986. "Commodity market instability : Empirical techniques for analysis," Resources Policy, Elsevier, vol. 12(1), pages 62-72, March. [Downloadable!] (restricted)
  6. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
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  7. Larson, Donald F. & Varangis, Panos & Yabuki, Nanae, 1998. "Commodity risk management and development," Policy Research Working Paper Series 1963, The World Bank. [Downloadable!]
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