Are Commodity Prices More Volatile Now? A Long-Run Perspective
Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices r...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| 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_20101027081331 http://hdl.handle.net/10986/3941 |
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okr-10986-39412021-04-23T14:02:13Z Are Commodity Prices More Volatile Now? A Long-Run Perspective Calvo-Gonzalez, Oscar Shankar, Rashmi Trezzi, Riccardo AGRICULTURAL COMMODITIES AGRICULTURAL COMMODITY AGRICULTURAL PRICE AMERICAN ECONOMIC REVIEW BORROWING COUNTRIES CAPITAL FLOWS CENTRAL BANK CHANGE IN VOLATILITY COMMODITIES COMMODITIES PRICE COMMODITY COMMODITY BOOM COMMODITY INDEX COMMODITY INDICES COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICE INDICES COMMODITY PRICES DEREGULATION DEVELOPED COUNTRIES ECONOMIC DEVELOPMENT ECONOMIC MANAGEMENT EXCHANGE RATE EXCHANGE RATE REGIMES EXCHANGE RATES FINANCIAL DATA FINANCIAL MARKET FINANCIAL MARKET VOLATILITY FLEXIBLE EXCHANGE RATE FLEXIBLE EXCHANGE RATE REGIMES FOREIGN EXCHANGE FOREIGN EXCHANGE INTERVENTION HEDGING HIGHER VOLATILITY INCOME INCREASE IN VOLATILITY INDUSTRIAL COMMODITIES INDUSTRIAL COMMODITY INTERNATIONAL MARKETS LEAST DEVELOPED COUNTRIES MACROECONOMICS MARKET INTEGRATION MARKET PRICES MARKET VOLATILITY MEASURE OF VOLATILITY PRICE CHANGES PRICE INDEX PRICE INDEXES PRICE INDICES PRICE LEVEL PRICE LEVELS PRICE MOVEMENT PRICE MOVEMENTS PRICE SERIES PRICE SUPPORT PRICE SUPPORTS PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PUBLIC POLICY SPOT PRICE STANDARD DEVIATION SUSTAINABLE DEVELOPMENT TRADED COMMODITIES VOLATILITIES VOLATILITY WORLD MARKET Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices rather than their volatility characteristics. This paper contributes by examining commodity price volatility with a newly compiled monthly panel dataset on 45 individual commodity prices from the end of the 18th century until today. The main conclusions are: the timing and number of breaks in volatility vary considerably across individual commodities, cautioning against generalizations based on the use of commodity price indices; the three most significant breaks common to most commodities are the two world wars and the collapse of the Bretton-Woods system; and structural breaks marking increased price volatility are followed by breaks marking declines in volatility so that there is no upward or downward trend in volatility over time. 2012-03-19T18:42:34Z 2012-03-19T18:42:34Z 2010-10-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101027081331 http://hdl.handle.net/10986/3941 English Policy Research working paper ; no. WPS 5460 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 |
AGRICULTURAL COMMODITIES AGRICULTURAL COMMODITY AGRICULTURAL PRICE AMERICAN ECONOMIC REVIEW BORROWING COUNTRIES CAPITAL FLOWS CENTRAL BANK CHANGE IN VOLATILITY COMMODITIES COMMODITIES PRICE COMMODITY COMMODITY BOOM COMMODITY INDEX COMMODITY INDICES COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICE INDICES COMMODITY PRICES DEREGULATION DEVELOPED COUNTRIES ECONOMIC DEVELOPMENT ECONOMIC MANAGEMENT EXCHANGE RATE EXCHANGE RATE REGIMES EXCHANGE RATES FINANCIAL DATA FINANCIAL MARKET FINANCIAL MARKET VOLATILITY FLEXIBLE EXCHANGE RATE FLEXIBLE EXCHANGE RATE REGIMES FOREIGN EXCHANGE FOREIGN EXCHANGE INTERVENTION HEDGING HIGHER VOLATILITY INCOME INCREASE IN VOLATILITY INDUSTRIAL COMMODITIES INDUSTRIAL COMMODITY INTERNATIONAL MARKETS LEAST DEVELOPED COUNTRIES MACROECONOMICS MARKET INTEGRATION MARKET PRICES MARKET VOLATILITY MEASURE OF VOLATILITY PRICE CHANGES PRICE INDEX PRICE INDEXES PRICE INDICES PRICE LEVEL PRICE LEVELS PRICE MOVEMENT PRICE MOVEMENTS PRICE SERIES PRICE SUPPORT PRICE SUPPORTS PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PUBLIC POLICY SPOT PRICE STANDARD DEVIATION SUSTAINABLE DEVELOPMENT TRADED COMMODITIES VOLATILITIES VOLATILITY WORLD MARKET |
| spellingShingle |
AGRICULTURAL COMMODITIES AGRICULTURAL COMMODITY AGRICULTURAL PRICE AMERICAN ECONOMIC REVIEW BORROWING COUNTRIES CAPITAL FLOWS CENTRAL BANK CHANGE IN VOLATILITY COMMODITIES COMMODITIES PRICE COMMODITY COMMODITY BOOM COMMODITY INDEX COMMODITY INDICES COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICE INDICES COMMODITY PRICES DEREGULATION DEVELOPED COUNTRIES ECONOMIC DEVELOPMENT ECONOMIC MANAGEMENT EXCHANGE RATE EXCHANGE RATE REGIMES EXCHANGE RATES FINANCIAL DATA FINANCIAL MARKET FINANCIAL MARKET VOLATILITY FLEXIBLE EXCHANGE RATE FLEXIBLE EXCHANGE RATE REGIMES FOREIGN EXCHANGE FOREIGN EXCHANGE INTERVENTION HEDGING HIGHER VOLATILITY INCOME INCREASE IN VOLATILITY INDUSTRIAL COMMODITIES INDUSTRIAL COMMODITY INTERNATIONAL MARKETS LEAST DEVELOPED COUNTRIES MACROECONOMICS MARKET INTEGRATION MARKET PRICES MARKET VOLATILITY MEASURE OF VOLATILITY PRICE CHANGES PRICE INDEX PRICE INDEXES PRICE INDICES PRICE LEVEL PRICE LEVELS PRICE MOVEMENT PRICE MOVEMENTS PRICE SERIES PRICE SUPPORT PRICE SUPPORTS PRICE VOLATILITY PRIMARY COMMODITIES PRIMARY COMMODITY PUBLIC POLICY SPOT PRICE STANDARD DEVIATION SUSTAINABLE DEVELOPMENT TRADED COMMODITIES VOLATILITIES VOLATILITY WORLD MARKET Calvo-Gonzalez, Oscar Shankar, Rashmi Trezzi, Riccardo Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5460 |
| description |
Soaring commodity prices in 2007 and
2008 raised concerns that volatility was also rising, which
would have implications for welfare and therefore for the
design of public policy interventions. The literature
focuses on trends in commodity prices rather than their
volatility characteristics. This paper contributes by
examining commodity price volatility with a newly compiled
monthly panel dataset on 45 individual commodity prices from
the end of the 18th century until today. The main
conclusions are: the timing and number of breaks in
volatility vary considerably across individual commodities,
cautioning against generalizations based on the use of
commodity price indices; the three most significant breaks
common to most commodities are the two world wars and the
collapse of the Bretton-Woods system; and structural breaks
marking increased price volatility are followed by breaks
marking declines in volatility so that there is no upward or
downward trend in volatility over time. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Calvo-Gonzalez, Oscar Shankar, Rashmi Trezzi, Riccardo |
| author_facet |
Calvo-Gonzalez, Oscar Shankar, Rashmi Trezzi, Riccardo |
| author_sort |
Calvo-Gonzalez, Oscar |
| title |
Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| title_short |
Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| title_full |
Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| title_fullStr |
Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| title_full_unstemmed |
Are Commodity Prices More Volatile Now? A Long-Run Perspective |
| title_sort |
are commodity prices more volatile now? a long-run perspective |
| 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_20101027081331 http://hdl.handle.net/10986/3941 |
| _version_ |
1764389128038776832 |