On the determinants of food price volatility
Ano Sujithan, Kuhanathan; Avouyi-Dovi, Sanvi; Koliai, Lyes (2014), On the determinants of food price volatility, International Conference on Food Price Volatility: Causes and Challenges, 2014-02, Rabat, Morocco
TypeCommunication / Conférence
Conference titleInternational Conference on Food Price Volatility: Causes and Challenges
MetadataShow full item record
Author(s)Ano Sujithan, Kuhanathan
Banque de France
Abstract (EN)In this paper, we investigate the determinants of price volatility for six major food commodities from January 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oil prices and financial markets indicators are commonly considered to be the main drivers of price volatility. We identify and analyse the relationships between these macroeconomic and financial factors and our commodities within a Bayesian multivariate framework. Then we assess the effect of each factor on food volatility in the recent period. We show that, although results depend on food commodities, they are consistent with those available in the latest studies. In other words, the two most recent surges in food prices do not significantly change the dynamics of these prices. We have also performed an analysis of the effects of certain shocks on food commodity markets. These exercises do not reveal the existence of coherent groups of food commodities.
Subjects / KeywordsFood price volatility; BVAR model; volatility spillovers
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