OECD Food, Agriculture and Fisheries Papers

ISSN :
1815-6797 (en ligne)
DOI :
10.1787/18156797
Cacher / Voir l'abstract
Selected studies on various food, agriculture and fisheries issues from the OECD Trade and Agriculture Directorate.

NB. No. 1 to No. 58 were released under the previous series title OECD Food, Agriculture and Fisheries Working Papers.

 

Agricultural Commodity Price Volatility

An Overview You or your institution have access to this content

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Auteur(s):
Marilyne Huchet-Bourdon1
Author Affiliations
  • 1: AgroCampus Ouest, Rennes, France

Date de publication
06 déc 2011
Bibliographic information
N°:
52
Pages
52
DOI
10.1787/5kg0t00nrthc-en

Cacher / Voir l'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.
Egalement disponible en: Français
Mots-clés:
agricultural markets, correlation and causality, price volatility