Volatility of primary commodity prices: some evidence from agricultural exports in Sub-Saharan Africa
AbstractThis 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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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 02/06.
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GARCH; TGARCH; EGARCH; price volatility; agricultural commodities; Sub-Saharan Africa.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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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