scholarly journals Commodity Price Changes and Domestic Inflation in the CEMAC Zone: Evidence from Panel Cointegration

2021 ◽  
Vol 13 (5) ◽  
pp. 93
Author(s):  
Njoupouognigni Moussa ◽  
Ndambendia Houdou
Keyword(s):  
Food Policy ◽  
Consumer Price Index ◽  
Commodity Prices ◽  
Panel Cointegration ◽  
Commodity Price ◽  
Food Prices ◽  
Price Changes ◽  
Long Run ◽  
Pass Through ◽  
Domestic Inflation

In this study, we highlight the issue of the recent rise of food prices and other commodities on domestic inflation in the CEMAC zone. Results show that there is a long-run relationship between consumer price index, commodity prices and traditional determinants of inflation. Indeed, an appreciation of the nominal effective exchange rate and a rise of interest rate reduce domestic inflation while excessive money supply and a surge of commodity prices are potential sources of inflation in the region. Moreover, Pass-through from commodity price changes to domestic inflation in the region is incomplete because of the CFA Franc peg to Euro. An efficient use of the tools of monetary policy and a coordinated food policy on crops are more likely to reduce inflationary pressures in the region.

scholarly journals The Interaction between Stock Prices and Commodity Prices: East Europe and Central Asia Countries

2015 ◽  
Author(s):  
Mustafa Ildırar ◽  
Erhan İşcan
Keyword(s):  
Stock Prices ◽  
Sharp Increase ◽  
Commodity Prices ◽  
Panel Cointegration ◽  
Commodity Price ◽  
Developed Countries ◽  
Upward Trend ◽  
East Europe ◽  
Long Run ◽  
Panel Cointegration Test

The sharp increase in commodity prices since 2000s has important effects on many economic variables. Especially the upward trend in commodity prices had substantial effects on stock prices. The literature has continuing and growing interest to the dynamics of commodity price and their significant impact on economic and financial developments. There is growing evidence that commodity prices, stock prices moved together, and that the correlations between them have increased. Many studies investigated the interaction between stock prices and real and commodity prices and find strong interaction for developed countries. However, the effect of the commodity prices on stock markets in relatively less investigated for ECA countries. The purpose of this study is to investigate the long-run relationship between commodity prices and stock prices in ECA countries can by using a panel cointegration test.

scholarly journals Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Shaobo Long ◽  
Mengxue Zhang ◽  
Keaobo Li ◽  
Shuyu Wu
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Commodity Prices ◽  
Commodity Price ◽  
Rapid Expansion ◽  
Price Changes ◽  
Rmb Exchange Rate ◽  
Long Run ◽  
Cointegration Relationship ◽  
Nardl Model

AbstractWith the rapid expansion of the RMB exchange rate’s floating range, the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase. This study uses both auto regressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices. Our findings show that without considering the critical variable of global commodity prices, there is no cointegration relationship between the RMB exchange rate and China’s stock prices, and the coefficient of the RMB exchange rate is not statistically significant. However, when we introduce global commodity prices into the NARDL model, the result shows that the RMB exchange rate has a negative effect on China’s stock prices, that there indeed exists a long-run cointegration relationship among the RMB exchange rate, global commodity prices, and stock prices in the NARDL model, and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run. Specifically, China’s stock prices are more sensitive to increases than decreases in global commodity prices. Thus, increases in global commodity prices cause China’s stock prices to decline sharply. In contrast, the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.

Global Food Commodity Prices and Domestic Food Inflation: Some Insights from Morocco

New Medit ◽  
2020 ◽  
Vol 19 (3) ◽  
Author(s):  
Ahmed EL GHIN ◽  
Mounir EL-KARIMI
Keyword(s):  
Exchange Rate Regime ◽  
Commodity Prices ◽  
Food Prices ◽  
Consumer Prices ◽  
Floating Exchange Rate ◽  
Pass Through ◽  
The Impact ◽  
Food Inflation ◽  
Global Food ◽  
Domestic Food

This paper examines the world commodity prices pass-through to food inflation in Morocco, over the period 2004-2018, by using Structural Vector Autoregression (SVAR) model on monthly data. Several interesting results are found from this study. First, the impact of global food prices on domestic food inflation is shown significant, which reflects the large imported component in the domestic food consumption basket. Second, the transmission effect is found to vary across commodities. Consumer prices of cereals and oils significantly and positively respond to external price shocks, while those of dairy and beverages are weakly influenced. Third, there is evidence of asymmetries in the pass-through from world to domestic food prices, where external positive shocks generate a stronger local prices response than negative ones. This situation is indicative of policy and market distortions, namely the subsidies, price controls, and weak competitive market structures. Our findings suggest that food price movements should require much attention in monetary policymaking, especially that the country has taken preliminary steps towards the adoption of floating exchange rate regime.

scholarly journals Commodity price pass-through along the pricing chain

2021 ◽  
Author(s):  
Rebeca Jiménez-Rodríguez ◽  
Amalia Morales-Zumaquero
Keyword(s):  
Emerging Economies ◽  
Raw Materials ◽  
Commodity Prices ◽  
Commodity Price ◽  
Emerging Countries ◽  
Consumer Prices ◽  
Advanced Economies ◽  
The World ◽  
Producer Prices ◽  
Pass Through

AbstractThis paper analyses the commodity price pass-through along the pricing chain for the global commodity price index and the indices of its main categories (i.e., agricultural raw materials, food and beverages, energy and metals) in the world, advanced and emerging economies. To do so, the study considers country-by-country vector autoregression models and pool the results by taking weighted means for 18 advanced economies and 19 emerging countries, as well as for the world (defined as the sum of advanced and emerging economies). The results show the following: (i) there is evidence in favour of partial pass-through from commodity prices to producer prices, although the evidence for the pass-through to consumer prices is less evident; (ii) the pass-through in the world seems to be led by both advanced and emerging countries for producer prices and only by advanced economies for consumer prices; (iii) higher prices in the four categories (agricultural raw materials only in the short-run) induce significant higher producer prices in almost all cases, with shocks in the prices of energy and metals showing the largest effects; and (iv) energy prices explain the highest variability of producer and consumer prices.

scholarly journals A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis

2021 ◽  
Vol 14 (7) ◽  
pp. 319
Author(s):  
Hany Fahmy
Keyword(s):  
International Trade ◽  
Structural Breaks ◽  
Developing Economies ◽  
Commodity Prices ◽  
Commodity Price ◽  
Data Set ◽  
Price Series ◽  
Long Run ◽  
Starting Point ◽  
The Impact

The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS hypothesis depend on the starting point of the technical analysis, i.e., stationarity, nonlinearity, and the existence of structural breaks. The objective of this paper is to appraise the PS hypothesis in the short- and long-run by employing a novel multiresolution wavelets decomposition to a unique data set of commodity prices. The paper also seeks to assess the impact of the terms of trade (also known as Incoterms) on the test results. The analysis reveals that the PS hypothesis is not supported in the long run for the aggregate commodity price index and for most of the individual commodity price series forming it. Furthermore, in addition to the starting point of the analysis, the results show that the PS test depends on the term of trade classification of commodity prices. These findings are of particular significance to international trade regulators and policymakers of developing economies that depend mainly on primary commodities in their exports.

scholarly journals On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

2009 ◽  
Vol 41 (2) ◽  
pp. 521-528 ◽  
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
Interest Rates ◽  
Commodity Prices ◽  
Commodity Price ◽  
Farm Income ◽  
Agricultural Commodity ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

scholarly journals FORMATION OF COMPOSITE GLOBAL COMMODITY PRICES AS AN INFLATION INDICATOR FOR EAST JAVA

2021 ◽  
Vol 2 (2) ◽  
pp. 210-217
Author(s):  
Anisha Wirasti Cahyaningrum
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Relative Weight ◽  
Commodity Prices ◽  
Commodity Price ◽  
Data Availability ◽  
General Will ◽  
The Exchange Rate ◽  
The Impact

With the average contribution of imports to Gross Regional Domestic Product (GRDP) in the last five years reaching 19.1%, the dynamics of global commodity prices also influence the economic performance of East Java, including the movement of inflation. A composite indicator of global commodity prices is needed to find out the impact of changes in various global commodity prices on inflation in East Java. By adopting the Bank Indonesia methodology in forming a composite global price known as the Imported Inflation Price Index (IHIM) which has considered the method of forming a global composite price created by the IMF (IMF Commodity Price Index), the compilation of East Java global price composites also examines the accuracy of commodity selection and aspects of data availability. The selected global price composite for East Java is a composite of seven global commodities which include food (wheat, soybeans, corn and CPO) and non-food (iron, gold and oil). These are two aspects determining the relative weight, namely (I) the import portion of the total input based on the Input-Output table and (ii) the commodity weight of derivatives in the East Java Consumer Price Index (IHK) basket. Furthermore, with OLS regression, the composite of East Java global commodity prices affects the core-traded inflation movement in East Java. Thus, the composite of global commodity prices in East Java can be used as an indicator of East Java inflation projections, especially core-traded inflation. This study, in general, will also examine the effect of the exchange rate impact on the movement of core inflation, especially traded groups in East Java. Based on the regression results it is known that the impact of the exchange rate movement on core traded inflation in East Java is more significant than the effect of world commodity price movements.

Macroeconomic Determinants Of Non-Fuel Primary Commodity Price Movements

2011 ◽  
Vol 24 (1) ◽  
Author(s):  
Raymond Swaray
Keyword(s):  
Commodity Prices ◽  
Commodity Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Modelling Techniques ◽  
Macroeconomic Determinants ◽  
Effective Exchange Rate ◽  
The Relationship

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; tab-stops: .5in 1.0in 1.5in 2.0in 2.5in 3.0in 3.5in 4.0in 4.5in 5.0in 5.5in 6.0in;"><span style="mso-ansi-language: EN-GB;" lang="EN-GB"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">This paper uses cointegration and error correction modelling techniques to examine the relationship between non-fuel commodity prices and world macroeconomic and monetary variables. The results show that fluctuations in industrial production of OECD countries, real effective exchange rate of the U.S. dollar and oil prices have significant short- and long- run impact on non-fuel commodity prices. In addition, there is evidence of highly significant positive correlation between the index of non-fuel commodity prices and crude oil price. This implies non-fuel commodity-dependent developing countries that are net importers of oil can derive little benefit from upward movements in commodity prices.</span></span></span></p>

Changes in Import Pricing Behaviour: Evidence for Germany

2011 ◽  
Vol 231 (4) ◽  
Author(s):  
Kerstin Stahn
Keyword(s):  
Import Price ◽  
Commodity Prices ◽  
Pricing To Market ◽  
Product Categories ◽  
Individual Product ◽  
Long Run ◽  
Consumer Prices ◽  
Pass Through ◽  
The Individual ◽  
The Impact

SummarySince changes in import prices feed into consumer prices and thus might affect monetary policy decisions, policymakers need to establish whether or not German importers’ long-run pricing behaviour has changed. Of particular interest are any shifts in the importance of cost pass-through and pricing-to-market for import pricing in Germany that may have ocurred since the 1990s. We analyse pricing in single equations for 11 product categories because the factors influencing the pricing behaviour, eg competitive pressure,may well have developed differently on the individual product markets. The Saikkonen (1991) approach is applied to test the import price levels for changes in the impact of their determinants. After aggregating the findings for the individual product categories, we find that, on the whole, pricing-to-market has increased, whereas cost pass-through via foreign costs and exchange rates is lower, but not via commodity prices.

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