Publication:
Commodity Price Uncertainty in Developing Countries

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dc.contributor.authorDehn, Jan
dc.date.accessioned2014-08-28T14:54:58Z
dc.date.available2014-08-28T14:54:58Z
dc.date.issued2000-08
dc.description.abstractUncertainty about commodity export prices is important to developing countries -- both governments and producers -- that export primary commodities. Commodity export price uncertainty is typically measured as the standard deviation in the terms of trade. There are three problems with this approach: 1) Terms of trade indices are unsuitable as proxies for commodity price movements per se. 2) The shortness of terms of trade time series makes them inappropriate as a base for constructing time-varying uncertainty measures. 3) Simple standard deviation measures ignore the distinction between predictable and unpredictable elements in the price process, so they risk overstating uncertainty. 4) The author examines commodity price uncertainty in developing countries using new data for quarterly aggregate commodity price indices for 113 developing countries for the period 1957-97. Each index is a geometrically weighted index of 57 commodity prices. He constructs six different measures of uncertainty. The uncertainty measures confirm the importance of distinguishing between predictable and unpredictable components in the price process. But there is a positive, highly significant relationship between commodity export concentration and commodity price uncertainty for all six measures. No obvious link is found between a country's regional affiliation and its exposure to uncertainty. Sub-Saharan African countries, for example, are no more prone to commodity price uncertainty than countries in other commodity-producing regions, although to the extent that they depend more on commodities, they will be affected more than countries with more diversified export baskets. Similarly, there is no apparent relationship between a country's experiences of uncertainty and the type of commodities that dominate its exports-except that oil producers face greater uncertainty (because of discrete, well-publicized oil shocks). A measure of uncertainty based on generalized autoregressive conditional heteroskedasticity (GARCH) indicates considerable time variation in uncertainty. Uncertainty is sometimes characterized by discrete spikes, although uncertainty in countries exhibits a secular increase over time. Most countries experience uncertainty, which tends to persist. It is unclear what lies behind the time variation in uncertainty.en
dc.identifierhttp://documents.worldbank.org/curated/en/2000/08/693238/commodity-price-uncertainty-developing-countries
dc.identifier.doi10.1596/1813-9450-2426
dc.identifier.urihttps://hdl.handle.net/10986/19807
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 2426
dc.rightsCC BY 3.0 IGO
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectAGRICULTURAL COMMODITIES
dc.subjectBUSINESS CYCLES
dc.subjectCOMMODITY
dc.subjectCOMMODITY EXPORTS
dc.subjectCOMMODITY PRICES
dc.subjectDEBT
dc.subjectEVOLUTION
dc.subjectEXPLOITATION
dc.subjectINCOME
dc.subjectINCOME EFFECTS
dc.subjectINTERNATIONAL COMMODITY AGREEMENTS
dc.subjectINVENTORIES
dc.subjectNATURE
dc.subject0 HYPOTHESIS
dc.subjectOIL
dc.subjectOIL PRICES
dc.subjectOPEC
dc.subjectPRICE CHANGES
dc.subjectPRICE INCREASES
dc.subjectPRICE INDEX
dc.subjectPRICE INDICES
dc.subjectPRICE VOLATILITY
dc.subjectPRIMARY COMMODITIES
dc.subjectPRODUCERS
dc.subjectRISK MANAGEMENT
dc.subjectSAVINGS
dc.subjectTERMS OF TRADE
dc.subjectTIMBER
dc.subjectUNCERTAINTY
dc.titleCommodity Price Uncertainty in Developing Countriesen
dspace.entity.typePublication
okr.crosscuttingsolutionareaJobs
okr.crossref.titleCommodity Price Uncertainty in Developing Countries
okr.date.disclosure2000-08-31
okr.date.doiregistration2025-04-10T09:43:07.438038Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2000/08/693238/commodity-price-uncertainty-developing-countries
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeEnvironment and Natural Resources
okr.globalpracticeTrade and Competitiveness
okr.globalpracticeFinance and Markets
okr.globalpracticeTrade and Competitiveness
okr.guid485921468766821102
okr.identifier.doi10.1596/1813-9450-2426
okr.identifier.externaldocumentum000094946_00091205364560
okr.identifier.internaldocumentum693238
okr.identifier.reportWPS2426
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2000/10/13/000094946_00091205364560/Rendered/PDF/multi_page.pdfen
okr.region.geographicalSub-Saharan Africa
okr.themeEconomic management :: Macroeconomic management
okr.topicMacroeconomics and Economic Growth::Commodities
okr.topicMacroeconomics and Economic Growth::Markets and Market Access
okr.topicEnvironmental Economics and Policies
okr.topicEnvironment::Biodiversity
okr.topicIndustry::Common Carriers Industry
okr.topicInternational Economics and Trade::Access to Markets
okr.unitRural Development, Development Research Group
okr.volume1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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