{
  "title": "The Relative Volatility of Commodity Prices: A Reappraisal",
  "publication": "IMF Working Papers, December 1, 2011",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391",
  "overlayPath": "/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/index.md",
  "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.",
  "sections": [
    {
      "heading": "Summary and research question",
      "content": "- Studies the volatility of commodity prices using a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011.\n- Notes conventional wisdom: primary commodity prices are more volatile than manufactured product prices.\n- Observes that much existing evidence focuses on trends in ratios of price indexes composed of multiple commodities and products, rather than on prices of individual goods or commodities.\n- Argues that the index-ratio approach can be misleading for assessing volatility of individual goods."
    },
    {
      "heading": "Data and approach",
      "content": "- Dataset: large set of monthly prices from U.S. international trade data.\n- Time coverage: 2002 to 2011.\n- Focus: volatility of prices at the level of individual primary commodities and individual manufactured goods (rather than aggregate index ratios)."
    },
    {
      "heading": "Main findings",
      "content": "- Evidence suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.\n- Challenges the conventional view that primary commodity prices are inherently more volatile when measured at the individual-good level rather than via aggregate price-index ratios."
    },
    {
      "heading": "Policy and analytical implications",
      "content": "- Recommends caution in using aggregate price-index ratios to infer volatility properties of underlying individual goods or commodities.\n- Implies that policy analysis and risk management that rely on the assumption of higher primary commodity volatility should reconsider that assumption when based on individual-good price behavior."
    },
    {
      "heading": "Publication metadata (for reference)",
      "content": "- Authors: Rabah Arezki, Daniel Lederman, Hongyan Zhao\n- Date: December 1, 2011\n- Series: IMF Working Papers; Working Paper No. 2011/279\n- Pages: 23\n- DOI: https://doi.org/10.5089/9781463925963.001\n\nSource: IMF Working Paper \"The Relative Volatility of Commodity Prices: A Reappraisal\" by Rabah Arezki, Daniel Lederman, and Hongyan Zhao, December 1, 2011.\n\n---\n\n Content in this bundle\n\n- wp11279\n  - wp11279 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp11279 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/bundle-manifest.json)",
    "Authors: Rabah Arezki, Daniel Lederman, Hongyan Zhao",
    "Published: December 1, 2011",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781463925963.001",
    "Studies the volatility of commodity prices using a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011.",
    "Notes conventional wisdom: primary commodity prices are more volatile than manufactured product prices.",
    "Observes that much existing evidence focuses on trends in ratios of price indexes composed of multiple commodities and products, rather than on prices of individual goods or commodities.",
    "Argues that the index-ratio approach can be misleading for assessing volatility of individual goods.",
    "Dataset: large set of monthly prices from U.S. international trade data.",
    "Time coverage: 2002 to 2011.",
    "Focus: volatility of prices at the level of individual primary commodities and individual manufactured goods (rather than aggregate index ratios).",
    "Evidence suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.",
    "Challenges the conventional view that primary commodity prices are inherently more volatile when measured at the individual-good level rather than via aggregate price-index ratios.",
    "Recommends caution in using aggregate price-index ratios to infer volatility properties of underlying individual goods or commodities.",
    "Implies that policy analysis and risk management that rely on the assumption of higher primary commodity volatility should reconsider that assumption when based on individual-good price behavior.",
    "Authors: Rabah Arezki, Daniel Lederman, Hongyan Zhao",
    "Date: December 1, 2011",
    "Series: IMF Working Papers; Working Paper No. 2011/279",
    "Pages: 23",
    "DOI: https://doi.org/10.5089/9781463925963.001",
    "**_wp11279**"
  ],
  "related": [
    {
      "title": "_wp11279",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2011/_wp11279.pdf",
      "summary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2011/_wp11279.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2011/_wp11279.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/index.md",
    "json": "/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/31/the-relative-volatility-of-commodity-prices-a-reappraisal-25391/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-18T08:38:12.933Z"
}