U.S. Inflation and Commodity Prices: Analytical and Empirical Issues

Malliaris, A. G.

doi:10.2139/ssrn.1084563

SSRN Journal

2008

DOI: 10.2139/ssrn.1084563

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U.S. Inflation and Commodity Prices: Analytical and Empirical Issues

A. G. Malliaris

Abstract: This paper reviews both theoretical and empirical issues regarding inflation and evaluates the contribution of Kyrtsou and Labys. Analytically it is very difficult to propose a general theory of inflation because as economies evolve over time both new causes of inflation emerge and the consequences of inflation become more complex. Kyrtsou and Labys perform several tests between the Primary Commodity Price component of the PPI and the CPI and construct a noisy chaotic multivariate model that describes the rela… Show more

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Cited by 2 publications

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Commodity Prices: How Important are Real and Nominal Shocks?

2009

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We consider the response of both nominal and real commodity prices on world markets to real and nominal shocks by hypothesizing that nominal shocks can permanently affect nominal commodity prices, but can have only temporary effect on real commodity prices. Real shocks, in contrast, can have permanent as well as temporary effects on both nominal and real commodity prices. When nominal and real shocks are decomposed in this manner, real shocks are found to be of much greater importance to the observed movements in commodity prices. Further, when the shocks are related to the rate of growth of world industrial production as an indicator of business cycle movements, the results suggest that the impact of the business cycle is self-stabilizing in that there is an initial positive effect on growth in commodity prices followed by a fully offsetting negative effect. 3 1.

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Commodity Prices: How Important are Real and Nominal Shocks?

2009

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Gold and Inflation(s) A Time-Varying Relationship

Vigne

2015

SSRN Journal

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What is the relationship between the price of gold and inflation? How stable is it-over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) over forty years and with a variety of measures of inflation and monetary liquidity. We apply a formal test for time variation and proceed to extract time varying cointegration relationships. Both formal and graphical evidence points to a break in the relationship(s) of gold and official inflation in the mid 1990s in the USA but to less clear results for the UK and Japan. However, gold seems to have offered a protection against an increase in money supply throughout nearly the entire past 40 year period in the US and the UK but failed to do so in Japan. Supporting previous findings we find evidence for a time-varying relationship in cointegration between gold and both predicted and realized inflation in nearly all cases. Contrasting multiple inflation indicators, we find evidence for the importance of money supply in the gold/inflation relationship.

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U.S. Inflation and Commodity Prices: Analytical and Empirical Issues

Cited by 2 publications

References 10 publications

Commodity Prices: How Important are Real and Nominal Shocks?

Commodity Prices: How Important are Real and Nominal Shocks?

Gold and Inflation(s) A Time-Varying Relationship

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