The present paper provides a literature review of studies examining the potential causes and consequences of recent surges in food and agricultural commodity prices. Furthermore, this paper uses the structural trend methodology proposed by Koopman et al. (2009) to analyze movements in the IMF monthly commodity food price index for the period 1992(11)–2012(10) and to provide forecasts for the period 2012(11)–2014(12). The empirical results indicate that commodity food prices present seasonality and cyclicality with the longest periodicity of two years.Theempirical findings identify certain structural breaks in commodity food price series aswell as outliers. These structural breaks seem to capture the trend component of the price serieswell,while the outliers take account of temporal effects, that is, short-lived spikes. Finally, the presented forecasts show high and volatile commodity food prices.
Commodity Food Prices: Review and Empirics
SASSI, MARIA
2013-01-01
Abstract
The present paper provides a literature review of studies examining the potential causes and consequences of recent surges in food and agricultural commodity prices. Furthermore, this paper uses the structural trend methodology proposed by Koopman et al. (2009) to analyze movements in the IMF monthly commodity food price index for the period 1992(11)–2012(10) and to provide forecasts for the period 2012(11)–2014(12). The empirical results indicate that commodity food prices present seasonality and cyclicality with the longest periodicity of two years.Theempirical findings identify certain structural breaks in commodity food price series aswell as outliers. These structural breaks seem to capture the trend component of the price serieswell,while the outliers take account of temporal effects, that is, short-lived spikes. Finally, the presented forecasts show high and volatile commodity food prices.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
