Price volatility in commodity markets with restricted participation

Volatility and Commodity Price Dynamics

Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...

Price Volatility in Ethanol Markets

Correlation in Volatility Among Related Commodity Markets

Related commodity markets have two characteristics: (i) they may follow similar volatility processes; and (ii) such markets are frequently represented by a market aggregate or index. Indices are used to represent the performance and time series properties of a group of markets. An important issue regarding the time series properties of an index is how it reflects the time series properties of i...

Commodity Price Volatility and Nutrition Vulnerability

vi 1. Motivation and Introduction 1 2. Overview of the Analytical Framework 3 3. Data and Methodology 6

Commodity Price Volatility across Exchange Rate Regimes

This paper documents a new " stylized fact " regarding commodity prices using alternative datasets covering the period from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the manufacturing unit value index, is higher under flexible-exchange rate regimes than fixed-exchange rate regimes. Furthermore, changes in exchange regime are associate...