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Commodity Price Shocks: Order within Chaos?

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dc.contributor.authorKabundi, Alain
dc.contributor.authorBaffes, John
dc.date.accessioned2021-10-12T17:23:43Z
dc.date.available2021-10-12T17:23:43Z
dc.date.issued2021-10
dc.description.abstractThe prices of 27 internationally traded commodities are decomposed into transitory and permanent shocks by applying an ideal band-pass filter to monthly data from 1970–2020. The two types of shocks contributed roughly equally to price variations, but with wide heterogeneity. Permanent shocks ac-counted for two-thirds of the variability in agricultural prices but less than 30 percent in energy prices. The transitory shock component revealed three medium-term cycles. The first (from the early 1970s to the mid-1980s) and third (from the early 2000s to 2020 onward) exhibit similar duration and involve almost all commodities, while the second (spanning the 1990s) is mostly applicable to metals, with the notable absence of energy. The permanent shock components differ across commodities, with an up-ward trend for most industrial commodities and downward trend for agriculture. Moreover, the permanent component of commodity prices where investment is irreversible, including energy, metals, and tree crops, exhibits a high degree of nonlinearities, which also coincide with the two post–World War II supercycles. By contrast, the permanent component of annual agricultural prices is linear, reflecting greater flexibility in investment allocation and input use of these commodities. Prices of commodities subjected to widespread policy interventions, such as international commodity agreements, exhibit persistent deviations from linear trends.en
dc.identifierhttp://documents.worldbank.org/curated/undefined/693261633374058029/Commodity-Price-Shocks-Order-within-Chaos
dc.identifier.doi10.1596/1813-9450-9792
dc.identifier.urihttps://hdl.handle.net/10986/36343
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 9792
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo
dc.subjectCOMMODITY PRICES
dc.subjectCOMMODITY SHOCK
dc.subjectENERGY
dc.subjectFERTILIZER
dc.subjectMETAL PRICES
dc.subjectPRICE CYCLE
dc.subjectPRICE TREND
dc.subjectAGRICULTURE
dc.titleCommodity Price Shocksen
dc.title.subtitleOrder within Chaos?en
dc.typeWorking Paperen
dc.typeDocument de travailfr
dc.typeDocumento de trabajoes
dspace.entity.typePublication
okr.crossref.titleCommodity Price Shocks: Order within Chaos?
okr.date.disclosure2021-10-04
okr.date.doiregistration2025-04-10T09:55:20.976346Z
okr.date.lastmodified2021-10-04T00:00:00Zen
okr.doctypePublications & Research
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://documents.worldbank.org/curated/undefined/693261633374058029/Commodity-Price-Shocks-Order-within-Chaos
okr.guid693261633374058029
okr.identifier.doi10.1596/1813-9450-9792
okr.identifier.externaldocumentum090224b088a30fef_1_0
okr.identifier.internaldocumentum33464240
okr.identifier.reportWPS9792
okr.importedtrueen
okr.language.supporteden
okr.pdfurlhttp://documents.worldbank.org/curated/en/693261633374058029/pdf/Commodity-Price-Shocks-Order-within-Chaos.pdfen
okr.topicAgriculture::Commodity Risk Management
okr.topicEnergy::Energy Markets
okr.topicMacroeconomics and Economic Growth::Commodities
okr.unitProspects Group
relation.isAuthorOfPublication18b25906-9cb0-519d-95a9-8bfd4c5a3666
relation.isAuthorOfPublication.latestForDiscovery18b25906-9cb0-519d-95a9-8bfd4c5a3666
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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