The Relative Volatility of Commodity Prices : A Reappraisal

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles...

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Main Authors:	Arezki, Rabah, Lederman, Daniel, Zhao, Hongyan
Format:	Policy Research Working Paper
Language:	English
Published:	2012
Subjects:	ADVERSE EFFECT AUTOMOBILES AVERAGE PRICE AVERAGE PRICES CIVIL WAR COMMODITIES COMMODITY COMMODITY EXPORTS COMMODITY FUTURES COMMODITY IMPORT COMMODITY INDICES COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDICES COMMODITY PRICES COMPUTERS DEVELOPING COUNTRIES DIFFERENTIATED GOODS DOMESTIC ECONOMIES DOMESTIC PRICES E-MAIL ECONOMIC ACTIVITY EQUIPMENT EXPORT MARKETS EXPOSURE FINANCIAL ASSETS FOOD PRICES FOREIGN TRADE FUTURES HEDGING HOMOGENOUS GOODS INCOME INCOMES INSPECTIONS INTERNATIONAL COMPETITION INTERNATIONAL TRADE LOW-INCOME COUNTRIES MANUFACTURING MARKET INTEGRATION NATURAL RESOURCE NATURAL RESOURCES NETWORKS OPEN ACCESS PRICE FLUCTUATIONS PRICE INDEX PRICE INDEXES PRICE INDICES PRICE INFORMATION PRICE SERIES PRICE VOLATILITIES PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PRODUCT CATEGORIES PRODUCT INNOVATION PRODUCTION PROCESS PRODUCTIVITY RATE OF GROWTH RESULT RESULTS SECURE ACCESS STOCKPILE STOCKPILING POLICIES TIME PERIOD TREASURY TREASURY BILLS VOLATILITIES VOLATILITY WEB WEB SITE WORLD MARKET
Online Access:	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111208154920 http://hdl.handle.net/10986/3673

id	okr-10986-3673
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spelling	okr-10986-36732021-04-23T14:02:11Z The Relative Volatility of Commodity Prices : A Reappraisal Arezki, Rabah Lederman, Daniel Zhao, Hongyan ADVERSE EFFECT AUTOMOBILES AVERAGE PRICE AVERAGE PRICES CIVIL WAR COMMODITIES COMMODITY COMMODITY EXPORTS COMMODITY FUTURES COMMODITY IMPORT COMMODITY INDICES COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDICES COMMODITY PRICES COMPUTERS DEVELOPING COUNTRIES DIFFERENTIATED GOODS DOMESTIC ECONOMIES DOMESTIC PRICES E-MAIL ECONOMIC ACTIVITY EQUIPMENT EXPORT MARKETS EXPOSURE FINANCIAL ASSETS FOOD PRICES FOREIGN TRADE FUTURES HEDGING HOMOGENOUS GOODS INCOME INCOMES INSPECTIONS INTERNATIONAL COMPETITION INTERNATIONAL TRADE LOW-INCOME COUNTRIES MANUFACTURING MARKET INTEGRATION NATURAL RESOURCE NATURAL RESOURCES NETWORKS OPEN ACCESS PRICE FLUCTUATIONS PRICE INDEX PRICE INDEXES PRICE INDICES PRICE INFORMATION PRICE SERIES PRICE VOLATILITIES PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PRODUCT CATEGORIES PRODUCT INNOVATION PRODUCTION PROCESS PRODUCTIVITY RATE OF GROWTH RESULT RESULTS SECURE ACCESS STOCKPILE STOCKPILING POLICIES TIME PERIOD TREASURY TREASURY BILLS VOLATILITIES VOLATILITY WEB WEB SITE WORLD MARKET This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, although most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities are less volatile than those of individual manufactured goods. However, the challenges of managing terms of trade volatility in developing countries with concentrated export baskets remain. 2012-03-19T18:06:37Z 2012-03-19T18:06:37Z 2011-12-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111208154920 http://hdl.handle.net/10986/3673 English Policy Research working paper ; no. WPS 5903 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English
topic	ADVERSE EFFECT AUTOMOBILES AVERAGE PRICE AVERAGE PRICES CIVIL WAR COMMODITIES COMMODITY COMMODITY EXPORTS COMMODITY FUTURES COMMODITY IMPORT COMMODITY INDICES COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDICES COMMODITY PRICES COMPUTERS DEVELOPING COUNTRIES DIFFERENTIATED GOODS DOMESTIC ECONOMIES DOMESTIC PRICES E-MAIL ECONOMIC ACTIVITY EQUIPMENT EXPORT MARKETS EXPOSURE FINANCIAL ASSETS FOOD PRICES FOREIGN TRADE FUTURES HEDGING HOMOGENOUS GOODS INCOME INCOMES INSPECTIONS INTERNATIONAL COMPETITION INTERNATIONAL TRADE LOW-INCOME COUNTRIES MANUFACTURING MARKET INTEGRATION NATURAL RESOURCE NATURAL RESOURCES NETWORKS OPEN ACCESS PRICE FLUCTUATIONS PRICE INDEX PRICE INDEXES PRICE INDICES PRICE INFORMATION PRICE SERIES PRICE VOLATILITIES PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PRODUCT CATEGORIES PRODUCT INNOVATION PRODUCTION PROCESS PRODUCTIVITY RATE OF GROWTH RESULT RESULTS SECURE ACCESS STOCKPILE STOCKPILING POLICIES TIME PERIOD TREASURY TREASURY BILLS VOLATILITIES VOLATILITY WEB WEB SITE WORLD MARKET
spellingShingle	ADVERSE EFFECT AUTOMOBILES AVERAGE PRICE AVERAGE PRICES CIVIL WAR COMMODITIES COMMODITY COMMODITY EXPORTS COMMODITY FUTURES COMMODITY IMPORT COMMODITY INDICES COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDICES COMMODITY PRICES COMPUTERS DEVELOPING COUNTRIES DIFFERENTIATED GOODS DOMESTIC ECONOMIES DOMESTIC PRICES E-MAIL ECONOMIC ACTIVITY EQUIPMENT EXPORT MARKETS EXPOSURE FINANCIAL ASSETS FOOD PRICES FOREIGN TRADE FUTURES HEDGING HOMOGENOUS GOODS INCOME INCOMES INSPECTIONS INTERNATIONAL COMPETITION INTERNATIONAL TRADE LOW-INCOME COUNTRIES MANUFACTURING MARKET INTEGRATION NATURAL RESOURCE NATURAL RESOURCES NETWORKS OPEN ACCESS PRICE FLUCTUATIONS PRICE INDEX PRICE INDEXES PRICE INDICES PRICE INFORMATION PRICE SERIES PRICE VOLATILITIES PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PRODUCT CATEGORIES PRODUCT INNOVATION PRODUCTION PROCESS PRODUCTIVITY RATE OF GROWTH RESULT RESULTS SECURE ACCESS STOCKPILE STOCKPILING POLICIES TIME PERIOD TREASURY TREASURY BILLS VOLATILITIES VOLATILITY WEB WEB SITE WORLD MARKET Arezki, Rabah Lederman, Daniel Zhao, Hongyan The Relative Volatility of Commodity Prices : A Reappraisal
geographic_facet	The World Region The World Region
relation	Policy Research working paper ; no. WPS 5903
description	This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, although most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities are less volatile than those of individual manufactured goods. However, the challenges of managing terms of trade volatility in developing countries with concentrated export baskets remain.
format	Publications & Research :: Policy Research Working Paper
author	Arezki, Rabah Lederman, Daniel Zhao, Hongyan
author_facet	Arezki, Rabah Lederman, Daniel Zhao, Hongyan
author_sort	Arezki, Rabah
title	The Relative Volatility of Commodity Prices : A Reappraisal
title_short	The Relative Volatility of Commodity Prices : A Reappraisal
title_full	The Relative Volatility of Commodity Prices : A Reappraisal
title_fullStr	The Relative Volatility of Commodity Prices : A Reappraisal
title_full_unstemmed	The Relative Volatility of Commodity Prices : A Reappraisal
title_sort	relative volatility of commodity prices : a reappraisal
publishDate	2012
url	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111208154920 http://hdl.handle.net/10986/3673
_version_	1764387744242466816

The Relative Volatility of Commodity Prices : A Reappraisal

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