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 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.

Bibliographic Details

Main Authors:	Calvo-Gonzalez, Oscar, Shankar, Rashmi, Trezzi, Riccardo
Language:	English
Published:	2010-10-01
Subjects:	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,
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 https://hdl.handle.net/10986/3941
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