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The Relative Volatility of Commodity Prices : A Reappraisal

Author/Editor: Rabah Arezki | Daniel Lederman | Hongyan Zhao
Authorized for Distribution: December 1, 2011
Electronic Access: Free Full Text (PDF file size is 1,381KB)
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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.
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Series: Working Paper No. 11/279
Subject(s): Capital goods | Manufacturing
Author's keyword(s): International Commodity Prices | Volatility | Manufactured Product Prices.
    Published:   December 1, 2011        
    ISBN/ISSN:   9781463925963/1018-5941   Format:   Paper
    Stock No:   WPIEA2011279   Pages:   23
    Price:   US$18.00
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