The Relative Volatility of Commodity Prices : A Reappraisal / Rabah Arezki, Daniel Lederman, Hongyan Zhao.

Format:

Book

Government document

Author/Creator:

Arezki, Rabah.

Contributor:

Lederman, Daniel.

Zhao, Hongyan.

Series:

IMF Working Papers; Working Paper ; No. 2011/279

IMF Working Papers

Language:

English

Subjects (All):

Commercial products.

Electronic commerce.

Emerging Markets.

International Commodity Prices.

International Economics and Trade.

Local Subjects:

Emerging Markets.

International Commodity Prices.

International Economics and Trade.

Physical Description:

1 online resource (31 pages)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2011.

Language Note:

English

System Details:

data file

Summary:

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, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather 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 may be less volatile than those of individual manufactured goods.

Contents:

Cover; Contents; I. Introduction; II. Data; III. Main Results; A. Product "Re-Classification"; B. Formal Tests of CDF Stochastic Dominance; IV. Robustness; A. Product destruction; B. Volatility of quantities; C. Homogeneous versus differentiated products; D. Measurement errors; V. Conclusion; Figures; Figure 1. Volatility of Aggregate Price Indices using IMF Commodity Indices; Figure 2. Volatility of Aggregate Price Indices using UNCTAD Commodity Indices; Figure 3. Cumulative Distribution Functions of Price Volatility for Goods with

Figure 4. Cumulative Distribution Functions of Price Volatility for SelectedFigure 5. Cumulative Distribution Function of Price Volatility for Goods Available for; Figure 6. Cumulative Distribution Function of Volatility of Import Quantities; Figure 7. Cumulative Distribution Function of Price Volatility for Differentiated and; Tables; Table 1. Price Volatility by Harmonized System Groups; Table 2. Price Volatility using Alternate Goods Classification; Table 3. Goods Entry and Exit; Appendixes; Appendix I. Lists of Commodities under the IMF Primary Commodity Price Tables; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 26, 2014).

ISBN:

9786613864024

9781463957353

1463957351

9781463977689

1463977689

9781283551571

1283551578

9781463933081

1463933088