Agricultural Commodity Price Volatility: An Overview

Marilyne Huchet (1)

1 SMART-LERECO - Structures et Marché Agricoles, Ressources et Territoires

Recent years have witnessed a sharp increase in many commodity prices. This report examines the question of whether commodity price volatility has materially changed with the rapid run up in world prices in 2006-09, followed by an equally sharp decline in many commodity prices. The report analyses international price volatility for selected agricultural commodities over the past half-century and their relationship with crude oil, fertiliser and the euro-dollar exchange rates. The analysis utilises different data sources, frequency of price observations, periods of observation, price volatility measures and a number of statistical tests to examine the various dimensions of the issue

Mots clés: Price volatility; agricultural markets; correlation and causality

Domaines: Agriculture, économie et politique

Marilyne Huchet. Agricultural Commodity Price Volatility: An Overview. 2011, non paginé. ⟨10.1787/5kg0t00nrthc-en⟩. ⟨hal-00842480⟩