Price volatility trends and price transmission for major staples in India

Food price volatility

The high food prices experienced over recent years have led to the widespread view that food price volatility has increased. However, volatility has generally been lower over the two most recent decades than previously. Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience. There is weak evidence that grains p...

Price Volatility in Ethanol Markets

Dairy Policy and Price Volatility

The US dairy industry is shaped by a patchwork of regulations accumulated over a long history of intervention to achieve various, sometimes conflicting, policy goals. Price supports have long been a central feature of dairy markets, but were largely withdrawn beginning in 1988. Since that time, there has been a dramatic increase in the variability of farm milk and milk product prices. The origi...

Price Momentum and Idiosyncratic Volatility

We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...

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 ...