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On the determinants of food price volatility

Ano Sujithan, Kuhanathan; Avouyi-Dovi, Sanvi; Koliai, Lyes (2014), On the determinants of food price volatility, International Conference on Food Price Volatility: Causes and Challenges, 2014-02, Rabat, Morocco

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Type
Communication / Conférence
Date
2014
Conference title
International Conference on Food Price Volatility: Causes and Challenges
Conference date
2014-02
Conference city
Rabat
Conference country
Morocco
Pages
50
Metadata
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Author(s)
Ano Sujithan, Kuhanathan

Avouyi-Dovi, Sanvi

Banque de France
Koliai, Lyes
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.
Subjects / Keywords
Food price volatility; BVAR model; volatility spillovers
JEL
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Q11 - Aggregate Supply and Demand Analysis; Prices
Q18 - Agricultural Policy; Food Policy

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