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|z 9781455201129
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|a 1018-5941
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|a BD-DhAAL
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|a Roache, Shaun.
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|a What Explains the Rise in Food Price Volatility? /
|c Shaun Roache.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2010.
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|a 1 online resource (29 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility-i.e., the component of volatility that persists for longer than one harvest year-may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which-the variation in U.S. inflation and the U.S. dollar exchange rate-explain a relatively large part of the rise in volatility since the mid-1990s.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2010/129
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2010/129/001.2010.issue-129-en.xml
|z IMF e-Library
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