Agricultural Commodity Price Volatility: An Overview

Marilyne Huchet ()

No 52, OECD Food, Agriculture and Fisheries Papers from OECD Publishing

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.

Keywords: agricultural markets; correlation and causality; price volatility (search for similar items in EconPapers)
Date: 2011-12-06
New Economics Papers: this item is included in nep-agr
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