Drivers and triggers of international food price spikes and volatility
The objective of this study is to explore empirical evidence on the quantitative importance of supply, demand, and market shocks for price changes in international food commodity markets. To this end, it distinguishes between root, conditional, and internal drivers of price changes using three empir...
| Autores principales: | , , , |
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| Formato: | Journal Article |
| Lenguaje: | Inglés |
| Publicado: |
Elsevier
2014
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/151361 |
| _version_ | 1855537161503244288 |
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| author | Tadesse, Getaw Algieri, Bernardina Kalkuhl, Matthias von Braun, Joachim |
| author_browse | Algieri, Bernardina Kalkuhl, Matthias Tadesse, Getaw von Braun, Joachim |
| author_facet | Tadesse, Getaw Algieri, Bernardina Kalkuhl, Matthias von Braun, Joachim |
| author_sort | Tadesse, Getaw |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | The objective of this study is to explore empirical evidence on the quantitative importance of supply, demand, and market shocks for price changes in international food commodity markets. To this end, it distinguishes between root, conditional, and internal drivers of price changes using three empirical models: (1) a price spike model where monthly food price returns (spikes) are estimated against oil prices, supply and demand shocks, and excessive speculative activity; (2) a volatility model where annualized monthly variability of food prices is estimated against the same set of variables plus a financial crises index; and (3) a trigger model that estimates extreme values of price spikes and volatility using quantile regressions. The results point to the increasing linkages among food, energy, and financial markets, which explain much of the observed food price spikes and volatility. While financial speculation amplifies short-term price spikes, oil price volatility intensifies medium-term price volatility. |
| format | Journal Article |
| id | CGSpace151361 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| record_format | dspace |
| spelling | CGSpace1513612025-09-25T13:01:45Z Drivers and triggers of international food price spikes and volatility Tadesse, Getaw Algieri, Bernardina Kalkuhl, Matthias von Braun, Joachim price volatility food prices commodity markets The objective of this study is to explore empirical evidence on the quantitative importance of supply, demand, and market shocks for price changes in international food commodity markets. To this end, it distinguishes between root, conditional, and internal drivers of price changes using three empirical models: (1) a price spike model where monthly food price returns (spikes) are estimated against oil prices, supply and demand shocks, and excessive speculative activity; (2) a volatility model where annualized monthly variability of food prices is estimated against the same set of variables plus a financial crises index; and (3) a trigger model that estimates extreme values of price spikes and volatility using quantile regressions. The results point to the increasing linkages among food, energy, and financial markets, which explain much of the observed food price spikes and volatility. While financial speculation amplifies short-term price spikes, oil price volatility intensifies medium-term price volatility. 2014-08 2024-08-01T02:56:51Z 2024-08-01T02:56:51Z Journal Article https://hdl.handle.net/10568/151361 en Open Access Elsevier Tadesse, Getaw; Algieri, Bernardina; Kalkuhl, Matthias; and von Braun, Joachim. 2014. Drivers and triggers of international food price spikes and volatility. Food Policy 47(August 2014): 117-128. https://doi.org/10.1016/j.foodpol.2013.08.014 |
| spellingShingle | price volatility food prices commodity markets Tadesse, Getaw Algieri, Bernardina Kalkuhl, Matthias von Braun, Joachim Drivers and triggers of international food price spikes and volatility |
| title | Drivers and triggers of international food price spikes and volatility |
| title_full | Drivers and triggers of international food price spikes and volatility |
| title_fullStr | Drivers and triggers of international food price spikes and volatility |
| title_full_unstemmed | Drivers and triggers of international food price spikes and volatility |
| title_short | Drivers and triggers of international food price spikes and volatility |
| title_sort | drivers and triggers of international food price spikes and volatility |
| topic | price volatility food prices commodity markets |
| url | https://hdl.handle.net/10568/151361 |
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