Commodity price pass-through along the pricing chain

This 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 consid...

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Bibliographic Details
Published in:Review of world economics 2022-02, Vol.158 (1), p.109-125
Main Authors: Jiménez-Rodríguez, Rebeca, Morales-Zumaquero, Amalia
Format: Article
Language:English
Subjects:
Agriculture
Commodities
Commodity prices
Consumer Price Index
Consumer prices
Drinks
Economic Policy
Economic theory
Economics
Economics and Finance
Emerging markets
Energy
Energy prices
European Integration
Food
Global economy
International Economics
Macroeconomics/Monetary Economics//Financial Economics
Metals
Original Paper
Price indexes
Producer prices
Raw materials
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Summary:This 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.
ISSN:1610-2878
1610-2886
DOI:10.1007/s10290-021-00425-2