What matters for global food price volatility?

Lafang Wang (), Wenjing Duan (), Dan Qu () and Shaojun Wang ()
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Lafang Wang: Hunan University
Dan Qu: Hunan University
Shaojun Wang: Hunan University

Empirical Economics, 2018, vol. 54, issue 4, No 7, 1549-1572

Abstract: Abstract Applying ensemble empirical mode decomposition (EEMD) to the study of global food price volatility, this article decomposes an original food price series into a set of intrinsic mode functions, from high to low frequency, and a residual, which provides an explanation of how different factors contribute to each component of food price volatility. A time series analysis complements the EEMD investigation and reveals that the low-frequency component contributes more than 49% to food price volatility; notable events or food trade policies are the primary reasons for such changes. The high-frequency component is determined mainly by small events and regular market adjustments for economic growth. In the long term, food prices are determined by an intrinsic trend, triggered by economic development throughout the world. Distinct factors are involved in explaining the low and high frequencies of food prices, which makes food price volatility a complicated story to tell.

Keywords: Food price; Ensemble empirical mode decomposition; Low frequency; High frequency; Trend (search for similar items in EconPapers)
JEL-codes: N50 O11 Q11 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00181-017-1311-9

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