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Forecasting of Global Food Prices Adjusted for Import Weights

Author

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  • Farida Valiyeva

    (Central Bank of Azerbaijan Republic)

Abstract

This study focuses on forecasting a modified global food price index that incorporates the weights of food products in Azerbaijan’s import basket. The estimation was carried out by applying the autoregressive distributed lag (ARDL) model using quarterly time series data for 2002-2024. Empirical results indicate that the modified global food price index better captures domestic food inflation dynamics. It should be noted that, the correlation coefficient between this index and domestic food inflation is higher (0.48) compared to indices published by other international institutions such as the IMF, FAO, and the World Bank. These findings suggest that forecasting the modified index offers a more precise framework for evaluating the possible impacts of global food market developments on Azerbaijan.

Suggested Citation

  • Farida Valiyeva, 2024. "Forecasting of Global Food Prices Adjusted for Import Weights," Working Papers 2403, Central Bank of Azerbaijan Republic.
    • Handle: RePEc:aze:wpaper:2403
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    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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