The Relative Volatility of Commodity Prices: A Reappraisal

Rabah Arezki, Daniel Lederman and Hongyan Zhao

No 2011/279, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; price; commodity; goods; commodity price; International Commodity Prices; Volatility; Manufactured Product Prices.; price volatility; UNCTAD commodity classification; manufactured goods; goods price; unit value; Commodity prices; Commodity price fluctuations; Price indexes; Valuation; origin and classification; North America (search for similar items in EconPapers)
Pages: 23
Date: 2011-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The Relative Volatility of Commodity Prices: A Reappraisal (2014)
Working Paper: The Relative Volatility of Commodity Prices: A Reappraisal (2011)
Working Paper: The Relative Volatility of Commodity Prices: A Reappraisal (2011)
Working Paper: The relative volatility of commodity prices: a reappraisal (2011)
Working Paper: The Relative Volatility of Commodity Prices: A Re-Appraisal (2011)
Working Paper: The relative volatility of commodity prices: a reappraisal (2011)
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