Commodity Price Uncertainty in Developing Countries

Dehn, Jan

World Bank, Washington, DC

关键词: AGRICULTURAL COMMODITIES;    BUSINESS CYCLES;    COMMODITY;    COMMODITY EXPORTS;    COMMODITY PRICES;   

DOI  :  10.1596/1813-9450-2426
RP-ID  :  WPS2426

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Uncertainty about commodity exportprices is important to developing countries -- bothgovernments and producers -- that export primarycommodities. Commodity export price uncertainty is typicallymeasured as the standard deviation in the terms of trade.There are three problems with this approach: 1) Terms oftrade indices are unsuitable as proxies for commodity pricemovements per se. 2) The shortness of terms of trade timeseries makes them inappropriate as a base for constructingtime-varying uncertainty measures. 3) Simple standarddeviation measures ignore the distinction betweenpredictable and unpredictable elements in the price process,so they risk overstating uncertainty. 4) The author examinescommodity price uncertainty in developing countries usingnew data for quarterly aggregate commodity price indices for113 developing countries for the period 1957-97. Each indexis a geometrically weighted index of 57 commodity prices. Heconstructs six different measures of uncertainty. Theuncertainty measures confirm the importance ofdistinguishing between predictable and unpredictablecomponents in the price process. But there is a positive,highly significant relationship between commodity exportconcentration and commodity price uncertainty for all sixmeasures. No obvious link is found between a country'sregional affiliation and its exposure to uncertainty.Sub-Saharan African countries, for example, are no moreprone to commodity price uncertainty than countries in othercommodity-producing regions, although to the extent thatthey depend more on commodities, they will be affected morethan countries with more diversified export baskets.Similarly, there is no apparent relationship between acountry's experiences of uncertainty and the type ofcommodities that dominate its exports-except that oilproducers face greater uncertainty (because of discrete,well-publicized oil shocks). A measure of uncertainty basedon generalized autoregressive conditional heteroskedasticity(GARCH) indicates considerable time variation inuncertainty. Uncertainty is sometimes characterized bydiscrete spikes, although uncertainty in countries exhibitsa secular increase over time. Most countries experienceuncertainty, which tends to persist. It is unclear what liesbehind the time variation in uncertainty.