What Explains the Rise in Food Price Volatility?
The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatilityâ€”i.e., the component of volatility that persists for longer than one harvest yearâ€”may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of whichâ€”the variation in U.S. inflation and the U.S. dollar exchange rateâ€”explain a relatively large part of the rise in volatility since the mid-1990s.
|Date of creation:||01 May 2010|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
References listed on IDEAS
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.:
- David S. Jacks & Kevin H. O'Rourke & Jeffrey G. Williamson, 2011.
"Commodity Price Volatility and World Market Integration since 1700,"
The Review of Economics and Statistics,
MIT Press, vol. 93(3), pages 800-813, August.
- David S. Jacks, Kevin H. O'Rourke and Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," The Institute for International Integration Studies Discussion Paper Series iiisdp280, IIIS.
- David S. Jacks & Kevin H. O'Rourke & Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," NBER Working Papers 14748, National Bureau of Economic Research, Inc.
- David S. Jacks, Kevin H. O'Rourke and Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," The Institute for International Integration Studies Discussion Paper Series iiisdp284, IIIS.
- Jacks, David S. & O'Rourke, Kevin Hjortshøj & Williamson, Jeffrey G, 2009. "Commodity Price Volatility and World Market Integration since 1700," CEPR Discussion Papers 7190, C.E.P.R. Discussion Papers.
- Allan D. Brunner, 2002.
"El Niño and World Primary Commodity Prices: Warm Water or Hot Air?,"
The Review of Economics and Statistics,
MIT Press, vol. 84(1), pages 176-183, February.
- Allan D. Brunner, 1998. "El Nino and world primary commodity prices: warm water or hot air?," International Finance Discussion Papers 608, Board of Governors of the Federal Reserve System (U.S.).
- Allan D. Brunner, 2000. "El Nino and World Primary Commodity Prices; Warm Water or Hot Air?," IMF Working Papers 00/203, International Monetary Fund.
- Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
- Robles, Miguel & Torero, Maximo & von Braun, Joachim, 2009. "When speculation matters:," Issue briefs 57, International Food Policy Research Institute (IFPRI).
- Seale, James L., Jr. & Regmi, Anita & Bernstein, Jason, 2003.
"International Evidence On Food Consumption Patterns,"
33580, United States Department of Agriculture, Economic Research Service.
- Seale, James & Regmi, Anita & Bernstein, Jason, 2003. "International Evidence on Food Consumption Patterns," Technical Bulletins 184321, United States Department of Agriculture, Economic Research Service.
- Amanor-Boadu, Vincent & Zereyesus, Yacob Abrehe, 2009. "How Much Did Speculation Contribute to Recent Food Price Inflation?," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46841, Southern Agricultural Economics Association.
- Thompson, Wyatt & Meyer, Seth & Westhoff, Pat, 2009. "How does petroleum price and corn yield volatility affect ethanol markets with and without an ethanol use mandate?," Energy Policy, Elsevier, vol. 37(2), pages 745-749, February.
- Askari, Hossein & Cummings, John Thomas, 1977. "Estimating Agricultural Supply Response with the Nerlove Model: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 257-292, June.
- Peterson, Hikaru Hanawa & Tomek, William G., 2003.
"How Much Of Commodity Price Behavior Can A Rational Expectations Storage Model Explain?,"
30712, Kansas State University, Department of Agricultural Economics.
- Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:10/129. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.