More on the energy / non-energy commodity price link

John Baffes ()

No 4982, Policy Research Working Paper Series from The World Bank

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.

Keywords: Markets and Market Access; Energy Production and Transportation; Emerging Markets; E-Business; Commodities (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2009-06-01

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Persistent link: http://EconPapers.repec.org/RePEc:wbk:wbrwps:4982

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