When commodity prices soared in 2007 and 2008 policy makers became concerned that volatility was also rising. A possible increase in the volatility of commodity prices would have implications for welfare and therefore for the design of public policy interventions. In fact, many public policies are presented as being essential to cushion the impact of large price fluctuations. While there is a large literature focused on examining possible trends in commodity prices, volatility characteristics

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... commodity prices have attracted less attention. In this paper we address the question of whether commodity price volatility has increased over time. We do so by exploiting a newly compiled unbalanced panel dataset on 45 individual commodity prices spanning the 1784-2009 period at a monthly frequency. We apply two econometric tests to detect structural breaks in volatility, the Inclan-Tiao (1994) and the Kokoszka-Leipus (2000) test which is specifically designed for GARCH-type processes. The paper presents evidence in support of three main conclusions. First, the timing and number of breaks in volatility vary considerably across individual commodities. This result cautions against broad generalizations and the use of commodity price indices. Second, the three most significant breaks common to most (but not all) commodities, are the two world wars and the collapse of the Bretton-Woods system. In recent years, however, there has been an upward break in price volatility in a number of commodities. Nevertheless, the evidence suggests that structural breaks marking increased price volatility are subsequently followed by downward breaks in volatility so that there is no upward or downward trend in volatility over time.