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Are Commodity Prices Leading Indicators of OECD Prices?

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  • Martine Durand
  • Sveinbjörn Blöndal
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    Abstract

    This paper examines the hypothesis that commodity price trends are useful indicators of OECD price developments. After a discussion of statistical techniques to assess the time series properties of individual price indices, integration and cointegration tests are conducted on a wide set of individual and aggregate commodity price indices and consumer price indices for the major seven OECD countries. The results of the analysis suggest that there is no clear evidence of any equilibrium relationship between levels of consumer and commodity prices. But relations between changes in a number of commodity prices such as metals and agricultural raw material prices and consumer prices may be established. The stability over time of such relationships is also tested ... Cet article tente de déterminer si les prix des produits de base peuvent jouer un rôle d'indicateurs avancés pour les évolutions de prix dans les grands pays de l'OCDE. Après discussion des techniques statistiques permettant d'établir les propriétés temporelles des series de prix utilisées, les tests d'intégration et de cointégration sont appliqués à un nombre important d'indices de prix élémentaires et agrégés de produits de base et d'indices de prix à la consommation. Les résultats de cette analyse indiquent qu'il n'existe pas de relation en niveau entre indices de prix à la consommation et prix de produits de base. Par contre, les variations dans les prix de certains produits comme ceux des métaux et des produits agricoles bruts peuvent être retenus comme indicateurs avancés du taux d'inflation dans les pays de l'OCDE. La stabilité temporelle de telles relations est également testée ...

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    File URL: http://dx.doi.org/10.1787/577218573683
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    Bibliographic Info

    Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 49.

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    Date of creation: Feb 1988
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    Handle: RePEc:oec:ecoaaa:49-en

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    Cited by:
    1. Palaskas, Theodosios & Varangis, Panos, 1989. "Primary commodity prices and macroeconomic variables : a long run relationship," Policy Research Working Paper Series 314, The World Bank.
    2. Langfeldt, Enno & Scheide, Joachim & Trapp, Peter, 1988. "Inflationsgefahren werden größer - Welchen Kurs soll die Geldpolitik steuern? Thesen zum 38. Kieler Konjunkturgespräch," Kiel Discussion Papers 142, Kiel Institute for the World Economy (IfW).
    3. Langfeldt, Enno & Scheide, Joachim & Trapp, Peter, 1988. "Inflationsgefahren werden größer - Welchen Kurs soll die Geldpolitik steuern? Thesen zum 38. Kieler Konjunkturgespräch," Open Access Publications from Kiel Institute for the World Economy 394, Kiel Institute for the World Economy (IfW).
    4. Langfeldt, Enno & Scheide, Joachim & Trapp, Peter, 1988. "Is money supply targeting obsolete?," Kiel Working Papers 338, Kiel Institute for the World Economy.
    5. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
    6. Alogoskoufis, George & Varangis, Panos, 1992. "OECD fiscal policies and the relative prices of primary commodities," Policy Research Working Paper Series 955, The World Bank.
    7. James M. Boughton & William H. Branson, 1988. "Commodity Prices as a Leading Indicator of Inflation," NBER Working Papers 2750, National Bureau of Economic Research, Inc.
    8. Vogelvang, E., 1990. "Testing for co-integration with spot prices of some related agricultural commodities," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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