The Relative Volatility of Commodity Prices: A Reappraisal

By Rabah Arezki, Daniel Lederman, Hongyan Zhao

December 1, 2011

Preview Citation

Format: Chicago

Rabah Arezki, Daniel Lederman, and Hongyan Zhao. The Relative Volatility of Commodity Prices: A Reappraisal, (USA: International Monetary Fund, 2011) accessed December 4, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Commodities, Commodity price fluctuations, Commodity prices, Price indexes, Prices, Revenue administration, Valuation, origin and classification

Keywords: Commodity, Commodity price, Commodity price fluctuations, Commodity prices, Goods, Goods price, International Commodity Prices, Manufactured goods, Manufactured Product Prices., North America, Origin and classification, Price, Price indexes, Price volatility, UNCTAD commodity classification, Unit value, Valuation, Volatility, WP

Publication Details

Pages:

23
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/279
Stock No:

WPIEA2011279
ISBN:

9781463925963
ISSN:

1018-5941

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