US inflation and global commodity prices: Asymmetric interdependence

Zhigang Pan, Zhihong Bai, Xiaochao Xing and Zhufeng Wang

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: Out of concern about high post-COVID-19 inflation, we examine the dynamic relationship between US inflation and global commodity prices by using the asymmetric Granger causality test. From the time-domain perspective, we can observe that the Granger causality between inflation and global commodity prices is mainly reflected in their negative impact on each other. The frequency-domain results further reveal this complex mechanism of their influence. The influence of lower inflation on global commodity prices gradually becomes significant in the medium term. Conversely, low commodity prices significantly affect inflation for almost the whole period. Finally, we verify the validity and rationality of asymmetric Granger causality analysis by robustness checks. These findings have important implications for policymakers and market expectations.

Keywords: Inflation; Global commodity prices; Granger causality test; Asymmetric; Frequency domain (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 G11 G12 G17 Q43 Q47 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370

DOI: 10.1016/j.ribaf.2024.102245

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