Journal Article

The Relative Volatility of Commodity Prices: A Reappraisal

Rabah Arezki, Daniel Lederman and Hongyan Zhao

in American Journal of Agricultural Economics

Published on behalf of Agricultural and Applied Economics Association

Volume 96, issue 3, pages 939-951
Published in print April 2014 | ISSN: 0002-9092
Published online July 2013 | e-ISSN: 1467-8276 | DOI: https://dx.doi.org/10.1093/ajae/aat050
The Relative Volatility of Commodity Prices: A Reappraisal

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  • Econometric and Statistical Methods; Special Topics
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This article studies the relative volatility of commodity prices by examining a large dataset of monthly prices observed in international trade data taken from the United States between 2002–2011. The evidence presented here suggests that, on average, prices of individual primary commodities are less volatile than individual manufactured goods prices. Furthermore, robustness tests suggest that these results are not likely to be due to alternative product classification choices, differences in product exit rates, measurement errors in the trade data, or the aggregation level of the trade data at the 10-digit level of the Harmonized System of products classification.

Keywords: international commodity prices; manufactured product prices; volatility; C43; E32; F14

Journal Article.  6764 words.  Illustrated.

Subjects: Econometric and Statistical Methods; Special Topics ; International Trade ; Prices, Business Fluctuations, and Cycles

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