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Feeding Inflation: The Non‐Linear Spillovers of Global Food Commodities

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  • Stéphane Dées

    (BSE - Bordeaux sciences économiques - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

This paper examines the role of global food price shocks in driving inflation dynamics, with a particular focus on non‐linear effects and heterogeneity across countries. Using a Bayesian Vector Autoregression (BVAR) approach, we identify global food price shocks and assess their impact on inflation. Quantile regressions reveal that inflation's sensitivity to food price shocks is significantly higher in high‐inflation regimes, with elasticity estimates being significantly larger for higher percentiles compared to the median. Additionally, panel estimations indicate that this sensitivity is particularly pronounced in emerging economies and developing countries, where food constitutes a larger share of household consumption. Our findings contribute to the literature on global inflation synchronisation and highlight the importance of accounting for inflation regimes when analysing the transmission of food commodity price shocks.

Suggested Citation

  • Stéphane Dées, 2026. "Feeding Inflation: The Non‐Linear Spillovers of Global Food Commodities," Post-Print hal-05582316, HAL.
    • Handle: RePEc:hal:journl:hal-05582316
    DOI: 10.1111/obes.70064
    as

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