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Agricultural Commodity Price Volatility: An Overview

Abstract : 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
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Submitted on : Thursday, July 11, 2013 - 5:34:21 PM
Last modification on : Tuesday, March 17, 2020 - 2:10:44 AM

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



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