Agricultural Commodity Price Volatility : An Overview

Marilyne Huchet-Bourdoni iAgroCampus Ouest ; Rennes

Organisation for Economic Co-operation and Development

关键词: price volatility;    correlation and causality;    agricultural markets;   

DOI  :  https://doi.org/10.1787/5kg0t00nrthc-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

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.