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On the determinants of food price volatility

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Avouyi-Dovi.pdf (2.162Mb)
Date
2014
Dewey
Economie de la terre et des ressources naturelles
Sujet
Food price volatility; BVAR model; volatility spillovers
JEL code
C.C3.C32; Q.Q1.Q11; Q.Q1.Q18
Conference name
International Conference on Food Price Volatility: Causes and Challenges
Conference date
02-2014
Conference city
Rabat
Conference country
Morocco
URI
https://basepub.dauphine.fr/handle/123456789/12798
Collections
  • LEDa : Publications
Metadata
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Author
Ano Sujithan, Kuhanathan
status unknown
Avouyi-Dovi, Sanvi
status unknown
Koliai, Lyes
status unknown
Type
Communication / Conférence
Item number of pages
50
Abstract (EN)
In this paper, we investigate the determinants of price volatility for six major food commodities from January 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oil prices and financial markets indicators are commonly considered to be the main drivers of price volatility. We identify and analyse the relationships between these macroeconomic and financial factors and our commodities within a Bayesian multivariate framework. Then we assess the effect of each factor on food volatility in the recent period. We show that, although results depend on food commodities, they are consistent with those available in the latest studies. In other words, the two most recent surges in food prices do not significantly change the dynamics of these prices. We have also performed an analysis of the effects of certain shocks on food commodity markets. These exercises do not reveal the existence of coherent groups of food commodities.

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