US inflation and commodity prices: Analytical and empirical issues

Malliaris, A. G.

doi:10.1016/j.jmacro.2005.10.020

Cited by 15 publications

(6 citation statements)

References 5 publications

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“…Cogoljevic, Gavrilovic, Roganovic, Matic, and Piljana (2018) stated that inflation represents an increase in the general price level or a decrease in the value of money and the typical behaviour of inflation and inflation transmission process was analysed by Sinicakova, Sulikove, Horvath, Gazda, and Grof (2011), Schwarzer (2018) and Bouchaud, Gualdi, Tarzia, and Zamponi (2017). Additionally, Malliaris (2006) stresses that different measures of inflation exist due to the multiple ways to measure the rate of price increases.…”

Section: Discussion About the Interaction Between Inflation And Commomentioning

confidence: 99%

Assessment of the Impact of Hard Commodity Prices Changes on Inflation in European Union Countries

Lapinskaitė¹,

Miečinskienė²

2020

CEBR

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This article analyses the impact of the changes in hard commodity prices in the world commodity exchanges on the variation of countries' general price level. In other words, this article aims to determine the impact of hard commodity prices changes on inflation. In this paper, all countries of the European Union (EU) are included in the research, and case analysis is done accordingly. The methodology applied is the following: a study of the recent scientific literature, processing and systemization of statistical data, correlation analysis and Granger causality test. The results of the research show that price changes of selected commodities in world commodity exchanges have no absolute dependence on the variation of the general price level in EU countries in the long period. Natural gas should be distinguished, whose price fluctuations in the commodity exchange market show a positive correlation with 14 EU countries' CPI changes. In addition, the research shows that Lithuania's inflation has been affected by all five selected commodities' prices fluctuations. UK and Romanian inflation relate to four of five selected commodities' prices fluctuations.

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Section: Discussion About the Interaction Between Inflation And Commomentioning

confidence: 99%

Assessment of the Impact of Hard Commodity Prices Changes on Inflation in European Union Countries

Lapinskaitė¹,

Miečinskienė²

2020

CEBR

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“…Inflation is understood as a decrease of the purchasing power of monetary unit, which can be measured as the price level index. According to Malliaris (2006) inflation is broadly defined as the process of continuously rising prices. Since there are several ways to measure the rate of price increases therefore there are also different measures of inflation.…”

Section: Inflation and Factors Conditioning Itmentioning

confidence: 99%

The Research on the Impact of the Changes of Commodity Price Level in the World Commodity Exchanges on Variation of General Price Level

Miečinskienė

Lapinskaitė

2014

E&S

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The purpose of the paper is to investigate the influence of changes of commodity price level in the world commodity exchanges on variation of general price level index in Lithuania. Object of the research is commodity price level in the world commodity exchanges. The methodology applied is following: study of the recent scientific literature, collection and analysis of statistical data, correlation regression analysis. The conclusion can be made that variation of general price level in Lithuania depends on changes of commodity prices in world commodity exchanges, mostly from the prices of aluminium, cocoa, coal and oil. Regression function made with analysed commodities is adequate to real situation and chosen variables X explain the 64% of inflation variability and 36% are explained by other factors. The results show that the determinate regression function could be practically used to forecast the dependence of inflation rate on the particular factors.

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“…Generally, the theoretical propositions for considering commodity prices in this light are situated around the theory of overshooting commodity prices, found in the works of Frankel (). The commodity markets reflect all available supply and demand shocks in the economy and these shocks (including shocks to aggregate demand, wealth, aggregate investment, technological innovation, harvest failures and labor shortages, among others) give room for unanticipated inflation arising from the market (see Malliaris, ). Consequently, in the event of such unanticipated inflation, when commodity prices rise, wholesalers and retailers of products respond swiftly by passing along a certain proportion of the price increase to consumers (see Richards, Allender, & Hamilton, ).…”

Section: Introductionmentioning

confidence: 99%

Can urban coffee consumption help predict US inflation?

Salisu

Swaray

Adediran

2019

Journal of Forecasting

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Motivated by the importance of coffee to Americans and the significance of the coffee subsector to the US economy, we pursue three notable innovations. First, we augment the traditional Phillips curve model with the coffee price as a predictor, and show that the resulting model outperforms the traditional variant in both in‐sample and out‐of‐sample predictability of US inflation. Second, we demonstrate the need to account for the inherent statistical features of predictors such as persistence, endogeneity, and conditional heteroskedasticity effects when dealing with US inflation. Consequently, we offer robust illustrations to show that the choice of estimator matters for improved US inflation forecasts. Third, the proposed augmented Phillips curve also outperforms time series models such as autoregressive integrated moving average and the fractionally integrated version for both in‐sample and out‐of‐sample forecasts. Our results show that augmenting the traditional Phillips curve with the urban coffee price will produce better forecast results for US inflation only when the statistical effects are captured in the estimation process. Our results are robust to alternative measures of inflation, different data frequencies, higher order moments, multiple data samples and multiple forecast horizons.

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US inflation and commodity prices: Analytical and empirical issues

Cited by 15 publications

References 5 publications

Assessment of the Impact of Hard Commodity Prices Changes on Inflation in European Union Countries

Assessment of the Impact of Hard Commodity Prices Changes on Inflation in European Union Countries

The Research on the Impact of the Changes of Commodity Price Level in the World Commodity Exchanges on Variation of General Price Level

Can urban coffee consumption help predict US inflation?

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