On the determinants of food price volatility
Résumé
In this paper, we investigate the determinants of price volatility for six major food commodities from
January 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oil
prices and financial markets indicators are commonly considered to be the main drivers of price
volatility. We identify and analyse the relationships between these macroeconomic and financial
factors and our commodities within a Bayesian multivariate framework. Then we assess the effect of
each factor on food volatility in the recent period. We show that, although results depend on food
commodities, they are consistent with those available in the latest studies. In other words, the two
most recent surges in food prices do not significantly change the dynamics of these prices. We have
also performed an analysis of the effects of certain shocks on food commodity markets. These
exercises do not reveal the existence of coherent groups of food commodities.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)
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