More on the Energy/Non-Energy Commodity Price Link
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...
| Main Author: | |
|---|---|
| Format: | Policy Research Working Paper |
| Language: | English |
| Published: |
2012
|
| Subjects: | |
| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20090630085856 http://hdl.handle.net/10986/4174 |
| Summary: | 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. |
|---|