Methods to Analyse Agricultural Commodity Price Volatility

1. Front Matter

   Pages i-xvi

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2. Methods to Analyse Agricultural Commodity Price Volatility

   • Isabelle Piot-Lepetit, Robert M’Barek

   Pages 1-11

3. Main Challenges of Price Volatility in Agricultural Commodity Markets

   • Monika Tothova

   Pages 13-29

4. The Energy/Non-energy Price Link: Channels, Issues and Implications

   • John Baffes

   Pages 31-44

5. Food Price Volatility

   • Christopher L. Gilbert, C. Wyn Morgan

   Pages 45-61

6. Empirical Issues Relating to Dairy Commodity Price Volatility

   • Declan O’Connor, Michael Keane

   Pages 63-83

7. Price Volatility and Price Leadership in the EU Beef and Pork Meat Market

   • Isabelle Piot-Lepetit

   Pages 85-105

8. Using Futures Prices to Forecast US Corn Prices: Model Performance with Increased Price Volatility

   • Linwood A. Hoffman

   Pages 107-132

9. Approaches to Assess Higher Dimensional Price Volatility Co-movements

   • Jochen Schmitz, Oliver von Ledebur

   Pages 133-148

10. Price Co-movements in International Markets and Their Impacts on Price Dynamics

    • Hadj Saadi

    Pages 149-163

11. Price Transmission and Volatility Spillovers in Food Markets of Developing Countries

    • George Rapsomanikis, Harriet Mugera

    Pages 165-179

12. Global Food Commodity Price Volatility and Developing Country Import Risks

    • Alexander Sarris

    Pages 181-206

13. Dealing with Volatility in Agriculture: Policy Issues

    • Beatriz Velazquez

    Pages 207-216

14. Back Matter

    Pages 217-231

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This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.

• agricultural commodity
• market forecasts
• price shocks
• price volatility
• trade liberalization

• , Joint Research Centre, European Commission, Seville, Spain

  Isabelle Piot-Lepetit, Robert M'Barek

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