On the determinants of food price volatility

Résumé En

In this paper, we investigate the determinants of price volatility for six major food commodities fromJanuary 2001 to March 2013. In the recent literature, real economic activity, biofuel production, oilprices and financial markets indicators are commonly considered to be the main drivers of pricevolatility. We identify and analyse the relationships between these macroeconomic and financialfactors and our commodities within a Bayesian multivariate framework. Then we assess the effect ofeach factor on food volatility in the recent period. We show that, although results depend on foodcommodities, they are consistent with those available in the latest studies. In other words, the twomost recent surges in food prices do not significantly change the dynamics of these prices. We havealso performed an analysis of the effects of certain shocks on food commodity markets. Theseexercises do not reveal the existence of coherent groups of food commodities.