What Explains the Rise in Food Price Volatility?
IMF Working Papers, May 1, 2010
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Bibliographic details
- Authors: Shaun K. Roache
- Published: May 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455201129.001
Overview and research objective
- Author: Shaun K. Roache
- Publication date: May 1, 2010
- Purpose: Measure low frequency volatility of food commodity spot prices and identify determinants of the rise in volatility.
Key findings
- Low frequency volatility is defined as the component of volatility that persists for longer than one harvest year.
- Low frequency volatility is positively correlated across different commodities, implying an important role for common factors.
- Two determinants explain a relatively large part of the rise in volatility since the mid-1990s:
- The variation in U.S. inflation.
- The U.S. dollar exchange rate.
- The macroeconomic effects of large food price swings can include impacts on:
- The balance of payments of importers and exporters.
- Budgets.
- Inflation.
- Poverty.
Methodology
- The paper measures low frequency volatility using the spline-GARCH approach.
Publication and identifiers
- Series: Working Paper No. 2010/129
- Issue: 129
- Volume: 2010
- Pages: 29
- DOI: https://doi.org/10.5089/9781455201129.001
- Stock No: WPIEA2010129
- ISBN: 9781455201129
- ISSN: 1018-5941
- Accessed (citation preview): 9/6/2026
IMF Working Paper — Shaun K. Roache, "What Explains the Rise in Food Price Volatility?"