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Price Co-movements in International Markets and Their Impacts on Price Dynamics

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Methods to Analyse Agricultural Commodity Price Volatility

Abstract

The upsurges of international primary commodity prices of 1973 and 1979, the fall of the 1980s, the price recovery of the early 1990s, the drop of the end of the 1990s and the high rise of the 2000s reflect a cyclical evolution over several decades and one which stems from endogenous mechanisms. This chapter aims to review the literature regarding similarity phenomena and analyses price evolution over the last three decades. The impact of macroeconomic factors brings about co-movements of primary commodity prices. Numerous econometric tests of causality and cointegration are run to check interactions and co-movements between prices. In addition, some economic comments are suggested.

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Notes

  1. 1.

    According to the Prebish–Singer Hypothesis, primary commodities are sold at decreasing prices compared to manufactured products. To measure relative prices or terms of trade, let T n be two index ratios P x and P m . P x is the average price of exports of a country whose amount can be obtained by dividing the volume index of exports with the export earnings index. P m is the average price index of imports which is determined in the same way as P x . Terms of trade T n increase if price exports increase according to price imports.

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Authors and Affiliations

  1. Université Pierre Mendès France, Grenoble, France

    Hadj Saadi

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  1. Hadj Saadi
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Correspondence to Hadj Saadi .

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Editors and Affiliations

  1. , Joint Research Centre, European Commission, Edifico Expo, c/ Inca Garcilaso 3, Seville, E41092, Spain

    Isabelle Piot-Lepetit

  2. , Joint Research Centre, European Commission, Edifico Expo, c/ Inca Garcilaso 3, Seville, E 41092, Spain

    Robert M'Barek

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Saadi, H. (2011). Price Co-movements in International Markets and Their Impacts on Price Dynamics. In: Piot-Lepetit, I., M'Barek, R. (eds) Methods to Analyse Agricultural Commodity Price Volatility. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7634-5_9

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