What Explains the Rise in Food Price Volatility?

By S. Roache. Social Science Research Network, 2010

115 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b8a4d2e35396faebf9ba09bee031fecb553153de

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In Economics and Econometrics

Citations in the corpus

The Welfare Impacts of Commodity Price Volatility: Evidence from Rural Ethiopia (2013, unknown): “27 We refer readers interested in using fractional polynomial regressions to Royston and Altman (1997), who prove a good discussion of both the method as well as of its usefulness.”
Drivers and triggers of international food price spikes and volatility (2014, background): “In the past few years, many studies have investigated the causes of and solutions to soaring food prices (Abbott et al. 2009, 2011; Gilbert 2010; Roache 2010).”
On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility (2014, background): “The works conducted by Roache (2010) and Gilbert (1989) emphasize that commodity prices can be influenced by exchange rates via international purchasing power and the effects on margins for producers with non-American dollar costs.”
Safeguarding food security in volatile global markets. (2011, methodology): “Roache (2010), who used data from the last one-hundred years, came to a similar finding that long-term volatility in commodity prices is not influenced by commodity stock levels.”
Global Food Price Volatility and Spikes: An Overview of Costs, Causes, and Solutions (2012, background): “Supply and demand shocks Global food price drivers Several studies have been conducted to identify the drivers of high commodity prices in 2007–08 and 2010–11 (see, for example, Roache 2009; Gilbert 2010; Abbott et al. 2011).”