What Explains the Rise in Food Price Volatility?:

The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility-i.e., the component of volatility that persis...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Roache, Shaun K. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C International Monetary Fund 2010
Schriftenreihe:IMF Working Papers Working Paper No. 10/129
Online-Zugang:UBW01
UEI01
LCO01
SBR01
UER01
SBG01
UBG01
FAN01
UBT01
FKE01
UBY01
UBA01
FLA01
UBM01
UPA01
UBR01
FHA01
FNU01
BSB01
TUM01
Volltext
Zusammenfassung:The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility-i.e., the component of volatility that persists for longer than one harvest year-may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which-the variation in U.S. inflation and the U.S. dollar exchange rate-explain a relatively large part of the rise in volatility since the mid-1990s
Beschreibung:1 Online-Ressource (29 p)
ISBN:145520112X
9781455201129

Es ist kein Print-Exemplar vorhanden.

Fernleihe Bestellen Achtung: Nicht im THWS-Bestand! Volltext öffnen