Recent food prices movements: A time series analysis
From 2006 to mid-2008 the international prices of agricultural commodities increased considerably, by a factor larger than two. This upward trend in agricultural prices captured the world’s attention as a new food crisis was emerging. Several explanations for these movements in prices, ranging from...
| Autores principales: | , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
International Food Policy Research Institute
2009
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/161965 |
| _version_ | 1855522814748000256 |
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| author | Cooke, Bryce Robles, Miguel |
| author_browse | Cooke, Bryce Robles, Miguel |
| author_facet | Cooke, Bryce Robles, Miguel |
| author_sort | Cooke, Bryce |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | From 2006 to mid-2008 the international prices of agricultural commodities increased considerably, by a factor larger than two. This upward trend in agricultural prices captured the world’s attention as a new food crisis was emerging. Several explanations for these movements in prices, ranging from demand-driven forces to supply shocks, have been provided by analysts, researchers, and development institutions. This paper is an attempt to empirically validate these explanations using time series econometrics and data at monthly frequency. We focus on the international price of corn, wheat, rice, and soybeans. First, we identify variables associated with the factors mentioned as causing the increase in these agricultural commodities prices. Second, we use time series analysis to try to quantitatively validate those explanations. The empirical work presented here includes first difference models and rolling Granger causality tests. Overall, our empirical analysis mainly provides evidence that financial activity in futures markets and proxies for speculation can help explain the observed change in food prices; any other explanation is not well supported by our time series analysis. |
| format | Artículo preliminar |
| id | CGSpace161965 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2009 |
| publishDateRange | 2009 |
| publishDateSort | 2009 |
| publisher | International Food Policy Research Institute |
| publisherStr | International Food Policy Research Institute |
| record_format | dspace |
| spelling | CGSpace1619652025-11-06T05:58:15Z Recent food prices movements: A time series analysis Cooke, Bryce Robles, Miguel shock time use patterns commodity markets From 2006 to mid-2008 the international prices of agricultural commodities increased considerably, by a factor larger than two. This upward trend in agricultural prices captured the world’s attention as a new food crisis was emerging. Several explanations for these movements in prices, ranging from demand-driven forces to supply shocks, have been provided by analysts, researchers, and development institutions. This paper is an attempt to empirically validate these explanations using time series econometrics and data at monthly frequency. We focus on the international price of corn, wheat, rice, and soybeans. First, we identify variables associated with the factors mentioned as causing the increase in these agricultural commodities prices. Second, we use time series analysis to try to quantitatively validate those explanations. The empirical work presented here includes first difference models and rolling Granger causality tests. Overall, our empirical analysis mainly provides evidence that financial activity in futures markets and proxies for speculation can help explain the observed change in food prices; any other explanation is not well supported by our time series analysis. 2009 2024-11-21T09:59:56Z 2024-11-21T09:59:56Z Working Paper https://hdl.handle.net/10568/161965 en Open Access application/pdf International Food Policy Research Institute Cooke, Bryce; Robles, Miguel. 2009. Recent food prices movements: A time series analysis. IFPRI Discussion Paper 942. https://hdl.handle.net/10568/161965 |
| spellingShingle | shock time use patterns commodity markets Cooke, Bryce Robles, Miguel Recent food prices movements: A time series analysis |
| title | Recent food prices movements: A time series analysis |
| title_full | Recent food prices movements: A time series analysis |
| title_fullStr | Recent food prices movements: A time series analysis |
| title_full_unstemmed | Recent food prices movements: A time series analysis |
| title_short | Recent food prices movements: A time series analysis |
| title_sort | recent food prices movements a time series analysis |
| topic | shock time use patterns commodity markets |
| url | https://hdl.handle.net/10568/161965 |
| work_keys_str_mv | AT cookebryce recentfoodpricesmovementsatimeseriesanalysis AT roblesmiguel recentfoodpricesmovementsatimeseriesanalysis |