UID:
edoccha_9958120570702883
Format:
1 online resource (48 p.)
ISBN:
1-4623-1336-1
,
1-4552-5963-2
,
1-282-84605-1
,
9786612846052
,
1-4552-0112-X
Series Statement:
IMF working paper ; WP/10/129
Content:
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.
Note:
"May 2010".
,
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
,
Table 2. Estimations of the Spline-GARCH and GARCH(1,1) Models: 1957-2009Table 3. Estimations of the Spline-GARCH and GARCH(1,1) Models 1875-2009; Table 4. Food Commodity Low Frequency Volatility Correlations, 1875-2009; Figure 2. Low-Frequency Volatility Estimates, 1875-2009; Figure 3. Low-Frequency Volatility Estimates, 1960-2009; The Determinants of Low-Frequency Food Price Volatility; Table 5. Determinants of Low Frequency Volatility: Regression Estimates 1968-2009; Real interest rates; Inflation, exchange rate, and stock market volatility effects; Futures market activity
,
Real activity levels and volatility effectsEl Niño/La Niña effects - also statistically significant, but small; What does not affect low-frequency food price volatility; Table 6. Determinants of Low Frequency Volatility: Policy variables; What has explained the recent rise in food price volatility?; Figure 4. Corn: Contribution to Low-Frequency Price Volatility 1995-2009; V. Conclusion; Appendix; References; Footnotes
Language:
English
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