European Parliament Library

What Explains the Rise in Food Price Volatility?, Shaun Roache

Abstract
The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which—the variation in U.S. inflation and the U.S. dollar exchange rate—explain a relatively large part of the rise in volatility since the mid-1990s
Table Of Contents
Cover Page; Title Page; Copyright Page; I. Introduction; Figure; Figure 1. Real Food Price Volatility, 1875-2009; II. Estimation methodology; Cross-sectional analysis of low frequency volatility; III. Data; Commodity prices; Table 1. Food Commodity Prices 1875-2009; Table; Potential determinants of low frequency food price variationr; Inventories; Macroeconomic factors; Inflation; Exchange rates and interest rates; Global economic activity; Oil price volatility; Global weather patterns; Financial investment and speculation; Agricultural policies; IV. Results; Long-run Volatility Trends
Language
eng
Literary Form
non fiction
Note
"May 2010"
Physical Description
1 online resource (48 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455259632

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