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External shocks and international inflation linkages: a global VAR analysis
Galesi, Alessandro; Lombardi, Marco J. - 2009
and food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among … exist among regions. In addition, a considerable part of the observed headline inflation rises is attributable to foreign …
Persistent link: https://www.econbiz.de/10011605108
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10011605216
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Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2009
This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables...
Persistent link: https://www.econbiz.de/10010265799
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Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2009
This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables...
Persistent link: https://www.econbiz.de/10010271111
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Monetary Policy, Global Liquidity and Commodity Price Dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this …
Persistent link: https://www.econbiz.de/10010269974
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this …
Persistent link: https://www.econbiz.de/10010271369
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The effect of inflation on real commodity prices
Reicher, Christopher Phillip; Utlaut, Johannes Friederich - 2011
contribution of fluctuations in inflation to this particular link. In the data, a temporary rise in inflation causes real commodity … prices to rise, as does a rise in trend inflation. We find that a simple dynamic equilibrium model of commodity supply and … demand gives a realistic response of real commodity prices to inflation. Based on historical simulations, shocks to inflation …
Persistent link: https://www.econbiz.de/10010274442
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Menu Costs and Inflation Asymmetries Some Micro Data Evidence
Karádi, Péter; Reiff, Àdám - 2007
The paper explains the observed asymmetric inflation response to value-added tax (VAT) changes in Hungary by … inflation and forward-looking firms, thereby it provides direct evidence to the argument of Ball and Mankiw (1994). …
Persistent link: https://www.econbiz.de/10010494360
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World shocks, world prices, and business cycles: An empirical investigation
Fernández Díaz, Andrés; Schmitt-Grohé, Stephanie; … - 2017
SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small fraction of movements in domestic output (typically less than 10 percent). This paper presents an empirical framework in which multiple commodity prices transmit world...
Persistent link: https://www.econbiz.de/10011786396
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Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
Gubler, Matthias; Hertweck, Matthias S. - 2011
particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology …
Persistent link: https://www.econbiz.de/10011390656