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Commodity prices and inflation: Testing in the frequency domain

  • Ciner, Cetin
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0275531911000080
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 25 (2011)
    Issue (Month): 3 (September)
    Pages: 229-237

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    Handle: RePEc:eee:riibaf:v:25:y:2011:i:3:p:229-237
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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