How did the demise of international commodity agreements affect volatility of primary commodity prices?
Abstract:This article has used the T-GARCH and E-GARCH models to answer the following two questions regarding the pattern of volatility of commodity prices following the demise of international commodity agreements (hereafter ICAs) in five key commodities: firstly, the question of whether the collapse or suspension of ICAs contributed to asymmetry in price volatility and secondly, the question of whether the collapse or suspension of ICAs led to an increase in persistence in price volatility. The results show that breakdown of ICAs was generally followed by higher degree asymmetry in price volatility but lower persistence in volatility.
Document Type: Research Article
Affiliations: Economics Subject Group, The Business School, University of Hull, Hull HU6 7RX, UK
Publication date: September 1, 2007