More on the energy / non-energy commodity price link
AbstractThis paper examines the energy/non-energy commodity price link, based on a reduced form econometric model and using annual data from 1960 to 2008. The transmission elasticity from energy to the non-energy index is estimated at 0.28. At a more disaggregated level, the fertilizer index exhibited the largest elasticity (0.55), followed by precious metals (0.46), food (0.27), metals and minerals (0.25), and raw materials (0.11). By contrast, only a few price indices responded strongly to inflation, although the trend parameter estimate (often viewed as a proxy for technological progress) is negative for agriculture and positive for metals. A key implication of the pass-through results is that for as long as energy prices remain elevated, most non-energy commodity prices are expected to be high.
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Bibliographic InfoPaper provided by The World Bank in its series Policy Research Working Paper Series with number 4982.
Date of creation: 01 Jun 2009
Date of revision:
Markets and Market Access; Energy Production and Transportation; Emerging Markets; E-Business; Commodities;
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