The Relative Volatility of Commodity Prices; A Reappraisal
This 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, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather 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 may be less volatile than those of individual manufactured goods.
|Date of creation:||01 Dec 2011|
|Date of revision:|
|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.:
- Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
- Daniel Lederman & William F. Maloney, 2007.
"Natural Resources : Neither Curse nor Destiny,"
World Bank Publications,
The World Bank, number 7183, October.
- Anthony J. Venables & William Maloney & Ari Kokko & Claudio Bravo Ortega & Daniel Lederman & Roberto Rigobón & José De Gregorio & Jesse Czelusta & Shamila A. Jayasuriya & Magnus Blomström & L. Colin X, 2007. "Natural Resources: Neither Curse nor Destiny," IDB Publications (Books), Inter-American Development Bank, number 59538 edited by William Maloney & Daniel Lederman.
- Frederick Van der Ploeg, 2010.
"Natural Resources: Curse or Blessing?,"
CESifo Working Paper Series
3125, CESifo Group Munich.
- Markus Brückner & Antonio Ciccone, 2007.
"International commodity prices, growth and the outbreak of Civil War in Sub-Saharan Africa,"
Economics Working Papers
1053, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2009.
- Markus Brückner & Antonio Ciccone, 2010. "International Commodity Prices, Growth and the Outbreak of Civil War in Sub-Saharan Africa," Economic Journal, Royal Economic Society, vol. 120(544), pages 519-534, 05.
- Markus Brückner & Antonio Ciccone, 2009. "International Commodity Prices, Growth, and the Outbreak of Civil War in Sub-Saharan Africa," Working Papers 2009-37, FEDEA.
- Rauch, James E., 1999.
"Networks versus markets in international trade,"
Journal of International Economics,
Elsevier, vol. 48(1), pages 7-35, June.
- Gourinchas, Pierre-Oliver & Farhi, Emmanuel & Caballero, Ricardo J., 2008.
"Financial Crash, Commodity Prices, and Global Imbalances,"
3229095, Harvard University Department of Economics.
- Emmanuel Farhi & Ricardo Caballero & Pierre-Olivier Gourinchas, . "Financial Crash, Commodity Prices and Global Imbalances," Working Paper 20933, Harvard University OpenScholar.
- Ricardo J. Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas, 2008. "Financial Crash, Commodity Prices and Global Imbalances," NBER Working Papers 14521, National Bureau of Economic Research, Inc.
- Caballero, Ricardo & Farhi, Emmanuel & Gourinchas, Pierre-Olivier, 2008. "Financial Crash, Commodity Prices and Global Imbalances," CEPR Discussion Papers 7064, C.E.P.R. Discussion Papers.
- Delgado, Miguel A. & Farinas, Jose C. & Ruano, Sonia, 2002. "Firm productivity and export markets: a non-parametric approach," Journal of International Economics, Elsevier, vol. 57(2), pages 397-422, August.
- Paul Cashin & C. John McDermott, 2001.
"The Long-Run Behavior of Commodity Prices; Small Trends and Big Variability,"
IMF Working Papers
01/68, International Monetary Fund.
- Paul Cashin & C. John McCDermott, 2002. "The Long-Run Behavior of Commodity Prices: Small Trends and Big Variability," IMF Staff Papers, Palgrave Macmillan, vol. 49(2), pages 2.
- Rabah Arezki & Markus Brückner, 2011.
"Food prices and political instability,"
NCID Working Papers
01/2011, Navarra Center for International Development, University of Navarra.
- Deaton, Angus & Laroque, Guy, 2003.
"A model of commodity prices after Sir Arthur Lewis,"
Journal of Development Economics,
Elsevier, vol. 71(2), pages 289-310, August.
- Angus Deaton & Guy Laroque, 2002. "A model of commodity prices after Sir Arthur Lewis," Working Papers 201, Princeton University, Woodrow Wilson School of Public and International Affairs, Research Program in Development Studies..
- Angus Deaton & Guy Laroque, 2002. "A Model of Commodity Prices after Sir Arthur Lewis," Working Papers 2002-19, Centre de Recherche en Economie et Statistique.
- repec:idb:brikps:59538 is not listed on IDEAS
- Calvo-Gonzalez, Oscar & Shankar, Rashmi & Trezzi, Riccardo, 2010. "Are commodity prices more volatile now ? a long-run perspective," Policy Research Working Paper Series 5460, The World Bank.
- David I. Harvey & Neil M. Kellard & Jakob B. Madsen & Mark E. Wohar, 2010. "The Prebisch-Singer Hypothesis: Four Centuries of Evidence," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 367-377, May.
- Peter K. Schott, 2004. "Across-Product Versus Within-Product Specialization in International Trade," The Quarterly Journal of Economics, Oxford University Press, vol. 119(2), pages 647-678.
- Robert C. Feenstra & John Romalis & Peter K. Schott, 2002. "U.S. Imports, Exports, and Tariff Data, 1989-2001," NBER Working Papers 9387, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:11/279. 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.