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Long-run and short-run dynamics of palm oil market

Voituriez T.. 1998. In : IOPRI, International oil palm conference : Commodity of the past, today and the future, Bali, 23-25 september 1998. Montpellier : CIRAD-CP, 7 p.. International Oil Palm Conference, 1998-09-23/1998-09-25, Bali (Indonésie).

The reconstruction of a hitherto unpublished 180-year palm oil monthly price series, from January 1818 to December 1998 caf Liverpool and Rotterdam, provides the occasion to study the historical market dynamics during nearly two centuries. In the current context of trade liberalisation and withdrawal of state, when attention is more than ever paid to price movement, understanding, explaining and if possible forecasting price volatility are key issues facing both producers and consumers. Last year's Asian crash legitimately raises questions on free markets security : are world commodity markets, like edible oils market, really different from financial markets ? Can their prices abruptly collapse tomorrow and degenerate in crashes similar to those registered in New York in 1987, Tokyo in 1990, Mexico in 1994, South East Asia in 1998 ? What basically creates volatility ? We try here to answer such questions. To this end, the main characteristics of our 180-year monthly series are reported in a first section. We discover that palm oil prices share most of the financial assets properties : they are not purely random, they exhibit strong nonlinearities ; and no bounded set holds their variations. Historical switching regime in volatility is the object of the second section. Succession of highly unstable periods and low volatility periods is discussed. We show that raptures in the dietary structure, trade growth shocks, as well as changes in the geography of trade are the three outstanding features of the twentieth century palm oil trade and the most serious explanatory candidates to price instability. Consequences of the recent leadership of a perennial crop oil like palm oil on the world oils and fats market prices behaviour are addressed in conclusion. Our view is that the occurrence of a crash cannot be rejected.

Mots-clés : huile de palme; histoire; marché des produits de base; libéralisation des échanges; formation des prix; Élasticité des prix; offre et demande; analyse économique; stabilisation des prix; méthode statistique

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