Are Commodity Prices More Volatile Now? A Long-Run Perspective

Calvo-Gonzalez, Oscar; Shankar, Rashmi; Trezzi, Riccardo

dc.creator	Calvo-Gonzalez, Oscar
dc.creator	Shankar, Rashmi
dc.creator	Trezzi, Riccardo
dc.date	2012-03-19T18:42:34Z
dc.date	2012-03-19T18:42:34Z
dc.date	2010-10-01
dc.date.accessioned	2023-02-17T21:06:21Z
dc.date.available	2023-02-17T21:06:21Z
dc.identifier	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
dc.identifier	http://hdl.handle.net/10986/3941
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/244911
dc.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.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5460
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	AGRICULTURAL COMMODITIES
dc.subject	AGRICULTURAL COMMODITY
dc.subject	AGRICULTURAL PRICE
dc.subject	AMERICAN ECONOMIC REVIEW
dc.subject	BORROWING COUNTRIES
dc.subject	CAPITAL FLOWS
dc.subject	CENTRAL BANK
dc.subject	CHANGE IN VOLATILITY
dc.subject	COMMODITIES
dc.subject	COMMODITIES PRICE
dc.subject	COMMODITY
dc.subject	COMMODITY BOOM
dc.subject	COMMODITY INDEX
dc.subject	COMMODITY INDICES
dc.subject	COMMODITY MARKETS
dc.subject	COMMODITY PRICE
dc.subject	COMMODITY PRICE INDEX
dc.subject	COMMODITY PRICE INDEXES
dc.subject	COMMODITY PRICE INDICES
dc.subject	COMMODITY PRICES
dc.subject	DEREGULATION
dc.subject	DEVELOPED COUNTRIES
dc.subject	ECONOMIC DEVELOPMENT
dc.subject	ECONOMIC MANAGEMENT
dc.subject	EXCHANGE RATE
dc.subject	EXCHANGE RATE REGIMES
dc.subject	EXCHANGE RATES
dc.subject	FINANCIAL DATA
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL MARKET VOLATILITY
dc.subject	FLEXIBLE EXCHANGE RATE
dc.subject	FLEXIBLE EXCHANGE RATE REGIMES
dc.subject	FOREIGN EXCHANGE
dc.subject	FOREIGN EXCHANGE INTERVENTION
dc.subject	HEDGING
dc.subject	HIGHER VOLATILITY
dc.subject	INCOME
dc.subject	INCREASE IN VOLATILITY
dc.subject	INDUSTRIAL COMMODITIES
dc.subject	INDUSTRIAL COMMODITY
dc.subject	INTERNATIONAL MARKETS
dc.subject	LEAST DEVELOPED COUNTRIES
dc.subject	MACROECONOMICS
dc.subject	MARKET INTEGRATION
dc.subject	MARKET PRICES
dc.subject	MARKET VOLATILITY
dc.subject	MEASURE OF VOLATILITY
dc.subject	PRICE CHANGES
dc.subject	PRICE INDEX
dc.subject	PRICE INDEXES
dc.subject	PRICE INDICES
dc.subject	PRICE LEVEL
dc.subject	PRICE LEVELS
dc.subject	PRICE MOVEMENT
dc.subject	PRICE MOVEMENTS
dc.subject	PRICE SERIES
dc.subject	PRICE SUPPORT
dc.subject	PRICE SUPPORTS
dc.subject	PRICE VOLATILITY
dc.subject	PRIMARY COMMODITIES
dc.subject	PRIMARY COMMODITY
dc.subject	PUBLIC POLICY
dc.subject	SPOT PRICE
dc.subject	STANDARD DEVIATION
dc.subject	SUSTAINABLE DEVELOPMENT
dc.subject	TRADED COMMODITIES
dc.subject	VOLATILITIES
dc.subject	VOLATILITY
dc.subject	WORLD MARKET
dc.title	Are Commodity Prices More Volatile Now? A Long-Run Perspective
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	The World Region
dc.coverage	The World Region