01934cas a2200241 a 4500 AALejournalIMF006483 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455201129 1018-5941 BD-DhAAL BD-DhAAL Roache, Shaun. What Explains the Rise in Food Price Volatility? / Shaun Roache. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (29 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility-i.e., the component of volatility that persists for longer than one harvest year-may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which-the variation in U.S. inflation and the U.S. dollar exchange rate-explain a relatively large part of the rise in volatility since the mid-1990s. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2010/129 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/129/001.2010.issue-129-en.xml IMF e-Library