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More on the energy / non-energy commodity price link

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  • Baffes, John

Abstract

This 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.

Suggested Citation

  • Baffes, John, 2009. "More on the energy / non-energy commodity price link," Policy Research Working Paper Series 4982, The World Bank.
  • Handle: RePEc:wbk:wbrwps:4982
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    References listed on IDEAS

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    1. repec:eee:ecmode:v:64:y:2017:i:c:p:384-398 is not listed on IDEAS
    2. van der Mensbrugghe, Dominique & Osorio Rodarte, Israel & Burns, Andrew & Baffes, John, 2009. "How to feed the world in 2050: Macroeconomic environment, commodity markets - A longer temr outlook," MPRA Paper 19019, University Library of Munich, Germany.
    3. Cullen S. Hendrix, 2011. "Markets vs. Malthus: Food Security and the Global Economy," Policy Briefs PB11-12, Peterson Institute for International Economics.
    4. Yong Jiang & Won Koo, 2014. "The Short-Term Impact of a Domestic Cap-and-Trade Climate Policy on Local Agriculture: A Policy Simulation with Producer Behavior," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(4), pages 511-537, August.

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    Keywords

    Markets and Market Access; Energy Production and Transportation; Emerging Markets; E-Business; Commodities;

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