What If Joseph Had Used Derivatives?
What If Joseph Had Used Derivatives?
Hedging commodity price risk
TABLE 1
Export Dependence
of Developing CountriesCommodities as % of Total Merchandise Export (1996)
Africa / Asia
Mauritania / 99.8 / Yemen, Rep. / 99.4
Mali / 99.8 / Papua New Guinea / 96.0
Nigeria / 99.3 / Kuwait / 95.3
Ethiopia / 99.3 / Saudi Arabia / 93.2
Chad / 99.1 / Syria / 90.8
Rwanda / 98.4 / Mongolia / 89.8
Gabon / 98.1 / Myanmar / 88.6
Angola / 97.8 / Iran / 86.5
Congo, Rep. / 97.9 / Oman / 86.1
Nigeria / 97.6 / Cambodia / 82.8
Algeria / 96.3 / Laos / 71.3
Libya / 96.1 / Vietnam / 63.7
Benin / 95.4 / Jordan / 61.3
Sudan / 95.4 / Latin America
Zambia / 95.4 / Ecuador / 91.1
Togo / 93.6 / Venezuela / 88.5
Burundi / 93.5 / Chile / 85.3
Guinea-Bissau / 93.1 / Peru / 84.0
Gambia, The / 92.8 / Bolivia / 84.0
Malawi / 92.7 / Paraguay / 83.0
Ghana / 92.3 / Panama / 79.7
Cameroon / 92.0 / Costa Rica / 75.5
Madagascar / 85.6 / Argentina / 69.9
Mozambique / 83.9 / Honduras / 69.5
Guinea-Bissau / 82.5 / Guatemala / 69.3
Burkina Faso / 80.1 / Nicaragua / 66.3
Tanzania / 78.2 / Colombia / 65.8
Senegal / 74.6 / Uruguay / 63.9
Kenya / 71.7 / Trinidad and Tobago / 61.3
Uganda / 70.7 / El Salvador / 58.8
Zimbabwe / 70.4 / Europe & Central Asia
Cote d'Ivoire / 68.7 / Russian Federation / 83.3
Namibia / 68.4 / Kazakhstan / 82.2
Egypt, Arab Rep. / 68.4 / Georgia / 82.2
Sierra Leone / 57.8 / Turkmenistan / 78.1
Central African Rep / 57.4 / Moldova / 77.3
South Africa / 50.8 / Tajikistan / 75.3
Azerbaijan / 73.2
Ukraine / 66.5
Bulgaria / 64.5
KyrgyzRepublic / 61.6
Armenia / 56.1
Macedonia, FRY / 52.5
Yugoslavia, FR / 51.1
World Bank, Statistical Information Management and Analysis
TABLE 2
Correlations with Major Export Commodity PriceCountry / Commodity / GDP / Exports / Revenue
Burundi / Coffee / -0.55 / 0.44 / 1.00
Colombia / Oil / 0.05 / 0.30 / 0.62
Ethiopia / Coffee / 0.44 / 0.33 / 0.36
Ghana / Cocoa / 0.75 / 0.22 / 0.72
Kazakhstan / Oil / 0.65 / 0.90 / 0.44
Nicaragua / Coffee / 0.48 / 0.40 / 0.48
Nigeria / Oil / 0.30 / 0.66 / 0.11
Uganda / Coffee / 0.65 / 0.52 / 0.64
Uruguay / Beef / 0.20 / 0.00 / 0.45
Venezuela / Oil / 0.01 / 0.71 / 0.50
-- GDP and Revenue in real 1995 local currency values
-- Exports in nominal U.S. dollar values
-- International Financial Statistics
TABLE 3
Duration of Commodity Price Shocks: 1957–199812 to 28 months / 48 to 96 months / 96 to 216 months / Permanent
Aluminum
Fishmeal
Gasoline
IronOre
Lamb
Rubber
Soybean meal
Soybean
Sugar (U.S.)
Wheat / 29 (1 & up)
45, (18 & up)
44, 8 & up)
32, (15 & up)
14, (9 & up)
43, (18 & up)
26, (14 & up)
30, (15 & up)
27, (14 & up)
44, (18 & up) / Beef
Coconut oil
Copper
Groundnut oil
Lead
Maize
Palm oil
Phosphate rock
Soybean oil
Wool (coarse)
Wool (fine)
Zinc / 57, (20 & up)
70, (22 & up)
81, (23 & up)
58, (20 & up)
64, (21 & up)
55, (20 & up)
64, (21 & up)
49, (19 & up)
51, (0 & up)
70, (22 & up)
57, (20 & up)
94, (24 & up) / Coffee
Cotton
Nickel
Rice / 150, (26 & up)
152, (26 & up)
175, (26 & up) 103 (24 & up) / Cocoa beans
Coffee (Robusta)
Gold
Hardwood (logs)
Natural gas
Petroleum
Sawnwood
Tin
Tobacco
TSP
Note: Estimated average duration (half-life) of price shocks (in months) is given by the first number in each relevant column and is followed by range of duration in parentheses.
Source: IMF Finance & Development (2001) “Do Commodity Price Shocks Last Too Long for Stabilization Schemes to Work? “
TABLE 4
Booms and Slumps in Commodity Prices
January 1957 – August 1999
Obs / Spearman Rank Correlation / SR-Pvalue / Bravais-Pearson Correlation / BP-Pvalue
Belize / Exports / 42 / 0.48079 / 0.00481 / 0.34636 / 0.03107
Belize / GDP / 29 / 0.47340 / 0.00540 / 0.34266 / 0.03250
Belize / GDP p. Cap. / 29 / 0.20444 / 0.09260 / 0.10340 / 0.25139
Belize / Revenue / 17 / 0.25735 / 0.14432 / 0.21243 / 0.19055
Chile / Exports / 42 / 0.42883 / 0.00504 / 0.30887 / 0.03192
Chile / GDP / 42 / 0.44813 / 0.00359 / 0.30734 / 0.03259
Chile / GDP p. Cap. / 42 / 0.42982 / 0.00447 / 0.40872 / 0.00646
Chile / Revenue / 40 / 0.38964 / 0.01058 / 0.44499 / 0.00424
Uganda / Exports / 40 / 0.45596 / 0.00156 / 0.29836 / 0.02658
Uganda / GDP / 42 / 0.45709 / 0.00153 / 0.29609 / 0.02750
Uganda / GDP p. Cap. / 42 / 0.09681 / 0.27018 / 0.28892 / 0.03383
Uganda / Revenue / 32 / -0.06232 / 0.36223 / -0.13924 / 0.21545
Zambia / Exports / 37 / 0.36099 / 0.00965 / 0.53215 / 0.00028
Zambia / GDP / 36 / 0.35840 / 0.01010 / 0.52969 / 0.00030
Zambia / GDP p. Cap. / 36 / 0.33328 / 0.01539 / 0.30761 / 0.02310
Zambia / Revenue / 35 / 0.32026 / 0.02141 / 0.36770 / 0.01002
COTTON
Obs / Spearman Rank Correlation / SR-Pvalue / Bravais-Pearson Correlation / BP-Pvalue
Chile / Exports / 42 / 0.40199 / 0.00459 / 0.45343 / 0.00165
Chile / GDP / 42 / 0.40264 / 0.00453 / 0.45395 / 0.00163
Chile / GDP p. Cap. / 42 / 0.10607 / 0.24591 / 0.02586 / 0.43344
Chile / Revenue / 40 / 0.35610 / 0.01216 / 0.32709 / 0.01929
Colombia / Exports / 42 / 0.45450 / 0.00161 / 0.43064 / 0.00263
Colombia / GDP / 42 / 0.45612 / 0.00156 / 0.43005 / 0.00266
Colombia / GDP p. Cap. / 42 / 0.40183 / 0.00460 / 0.41971 / 0.00326
Colombia / Revenue / 8 / 0.38095 / 0.14063 / 0.27729 / 0.21644
Nigeria / Exports / 42 / 0.32907 / 0.01648 / 0.17580 / 0.12728
Nigeria / GDP / 42 / 0.33004 / 0.01622 / 0.17523 / 0.12805
Nigeria / GDP p. Cap. / 42 / 0.49097 / 0.00073 / 0.32366 / 0.01797
Nigeria / Revenue / 37 / 0.37767 / 0.01080 / 0.34330 / 0.01839
Peru / Exports / 13 / 0.36813 / 0.09220 / 0.51960 / 0.03050
Peru / GDP / 13 / 0.36813 / 0.09220 / 0.51841 / 0.03080
Peru / GDP p. Cap. / 13 / 0.43956 / 0.05650 / 0.23068 / 0.20278
Peru / Revenue / 12 / 0.51049 / 0.03850 / 0.61456 / 0.01663
Zambia / Exports / 37 / 0.30785 / 0.03237 / 0.47792 / 0.00207
Zambia / GDP / 36 / 0.32124 / 0.02696 / 0.47466 / 0.00220
Zambia / GDP p. Cap. / 36 / 0.33807 / 0.01987 / 0.44638 / 0.00331
Zambia / Revenue / 35 / 0.39328 / 0.00999 / 0.55155 / 0.00055
PETROLEUM
Obs / Spearman Rank Correlation / SR-Pvalue / Bravais-Pearson Correlation / BP-Pvalue
Bahrain / Exports / 36 / 0.51770 / 0.00357 / 0.35603 / 0.03216
Bahrain / GDP / 27 / 0.48962 / 0.00548 / 0.35915 / 0.03101
Bahrain / GDP p. Cap. / 27 / 0.82537 / 0.00000 / 0.88841 / 0.00000
Bahrain / Revenue / 27 / 0.62576 / 0.00057 / 0.44926 / 0.00979
Belize / Exports / 42 / 0.54187 / 0.00176 / 0.53663 / 0.00193
Belize / GDP / 29 / 0.55764 / 0.00134 / 0.54879 / 0.00156
Belize / GDP p. Cap. / 29 / 0.41194 / 0.00380 / 0.37678 / 0.00731
Belize / Revenue / 17 / 0.70588 / 0.00180 / 0.33723 / 0.08220
Colombia / Exports / 42 / 0.25023 / 0.05244 / 0.27126 / 0.03938
Colombia / GDP / 42 / 0.26407 / 0.04351 / 0.27303 / 0.03841
Colombia / GDP p. Cap. / 42 / 0.32335 / 0.01806 / 0.26561 / 0.04259
Colombia / Revenue / 8 / -0.14286 / 0.34308 / -0.08472 / 0.40531
Cote d'Ivoire / Exports / 42 / 0.36097 / 0.00966 / 0.13182 / 0.19647
Cote d'Ivoire / GDP / 42 / 0.35380 / 0.01093 / 0.12626 / 0.20661
Cote d'Ivoire / GDP p. Cap. / 42 / 0.38556 / 0.00623 / 0.23194 / 0.06640
Cote d'Ivoire / Revenue / 5 / 0.10000 / 0.41153 / 0.06426 / 0.44287
Nigeria / Exports / 42 / 0.33100 / 0.01597 / 0.29239 / 0.02905
Nigeria / GDP / 42 / 0.33003 / 0.01623 / 0.29144 / 0.02946
Nigeria / GDP p. Cap. / 42 / 0.57496 / 0.00010 / 0.74699 / 0.00000
Nigeria / Revenue / 37 / 0.39497 / 0.00814 / 0.51574 / 0.00085
Venezuela / Exports / 42 / 0.26879 / 0.04076 / 0.47233 / 0.00110
Venezuela / GDP / 42 / 0.24811 / 0.05392 / 0.46489 / 0.00129
Venezuela / GDP p. Cap. / 42 / 0.71274 / 0.00000 / 0.87463 / 0.00000
Venezuela / Revenue / 41 / 0.31051 / 0.02339 / 0.72440 / 0.00000
