On the determinants of food price volatility

Kuhanathan Ano Sujithan, Sanvi Avouyi-Dovi and Lyes Koliai
Additional contact information
Kuhanathan Ano Sujithan: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Lyes Koliai: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: In this paper, we investigate the determinants of price volatility for six major food commodities from January 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oil prices and financial markets indicators are commonly considered to be the main drivers of price volatility. We identify and analyse the relationships between these macroeconomic and financial factors and our commodities within a Bayesian multivariate framework. Then we assess the effect of each factor on food volatility in the recent period. We show that, although results depend on food commodities, they are consistent with those available in the latest studies. In other words, the two most recent surges in food prices do not significantly change the dynamics of these prices. We have also performed an analysis of the effects of certain shocks on food commodity markets. These exercises do not reveal the existence of coherent groups of food commodities.

Keywords: Food price volatility; BVAR model; volatility spillovers (search for similar items in EconPapers)
Date: 2014-02
Note: View the original document on HAL open archive server: https://hal.science/hal-01511900v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in International Conference on Food Price Volatility: Causes and Challenges, Feb 2014, Rabat, Morocco. pp.50

Downloads: (external link)
https://hal.science/hal-01511900v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01511900

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().