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Commodity prices and inflation: Testing in the frequency domain

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  • Ciner, Cetin

Abstract

We provide evidence for a long term, positive relation between commodity prices and inflation. However, this is only detected when frequency dependency in the regression is statistically accounted for, suggesting nonlinear dynamics between the variables. We also test whether commodity prices can be used to forecast inflation. Again relying on frequency domain methods, we indeed find support for long term causality from commodities to inflation. Moreover, the information content of commodity futures prices is robust to the effects of several financial and economic variables.

Suggested Citation

  • Ciner, Cetin, 2011. "Commodity prices and inflation: Testing in the frequency domain," Research in International Business and Finance, Elsevier, vol. 25(3), pages 229-237, September.
  • Handle: RePEc:eee:riibaf:v:25:y:2011:i:3:p:229-237
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. repec:eee:finlet:v:24:y:2018:i:c:p:25-33 is not listed on IDEAS
    2. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
    3. repec:eee:ecmode:v:67:y:2017:i:c:p:88-101 is not listed on IDEAS
    4. Chkili, Walid, 2016. "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 38(C), pages 22-34.
    5. repec:taf:applec:v:50:y:2018:i:4:p:407-425 is not listed on IDEAS
    6. repec:eee:asieco:v:52:y:2017:i:c:p:32-44 is not listed on IDEAS
    7. Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.
    8. Ahmed, Mumtaz & Azam, Muhammad, 2016. "Causal nexus between energy consumption and economic growth for high, middle and low income countries using frequency domain analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 60(C), pages 653-678.
    9. Ciner, Cetin, 2013. "Oil and stock returns: Frequency domain evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 1-11.
    10. repec:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9378-2 is not listed on IDEAS
    11. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
    12. Bozoklu, Seref & Yilanci, Veli, 2013. "Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger causality test in the frequency domain," Energy Policy, Elsevier, vol. 63(C), pages 877-881.
    13. Narayan, Seema & Narayan, Paresh Kumar, 2013. "The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil," Research in International Business and Finance, Elsevier, vol. 28(C), pages 19-34.

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