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How did the demise of international commodity agreements affect volatility of primary commodity prices?

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  • Raymond Swaray

Abstract

This article has used the T-GARCH and E-GARCH models to answer the following two questions regarding the pattern of volatility of commodity prices following the demise of international commodity agreements (hereafter ICAs) in five key commodities: firstly, the question of whether the collapse or suspension of ICAs contributed to asymmetry in price volatility and secondly, the question of whether the collapse or suspension of ICAs led to an increase in persistence in price volatility. The results show that breakdown of ICAs was generally followed by higher degree asymmetry in price volatility but lower persistence in volatility.

Suggested Citation

  • Raymond Swaray, 2007. "How did the demise of international commodity agreements affect volatility of primary commodity prices?," Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2253-2260.
    • Handle: RePEc:taf:applec:v:39:y:2007:i:17:p:2253-2260
    DOI: 10.1080/00036840600707043
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    References listed on IDEAS

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    1. Christopher P. Brown, 1980. "The Political and Social Economy of Commodity Control," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-04722-2, March.
    2. Gilbert, Christopher L., 1995. "International commodity control : retrospect and prospect," Policy Research Working Paper Series 1545, The World Bank.
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    Cited by:

    1. Mittal, S & Hariharan, VK & Subash, SP, 2018. "Price volatility trends and price transmission for major staples in India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 31(1).
    2. Georg V. Lehecka, 2014. "Have food and financial markets integrated?," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2087-2095, June.
    3. Swaray, Raymond, 2011. "Commodity buffer stock redux: The role of International Cocoa Organization in prices and incomes," Journal of Policy Modeling, Elsevier, vol. 33(3), pages 361-369, May.
    4. Mr. Shaun K. Roache, 2010. "What Explains the Rise in Food Price Volatility?," IMF Working Papers 2010/129, International Monetary Fund.

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