On the dynamic price pass-through effect of commodities to CPI constituents

Gökhan Cebiroğlu (), Kujtim Avdiu () and Stephan Unger ()
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Gökhan Cebiroğlu: Vattenfall Energy Trading GmbH
Kujtim Avdiu: OeNB
Stephan Unger: Saint Anselm College

SN Business & Economics, 2022, vol. 2, issue 3, 1-12

Abstract: Abstract This paper analyzes the price pass-through effect of the most heavily traded commodities to CPI constituents. We investigate the differences between US, EU, and China CPI constituent dependency on commodity prices, and analyze the dynamics of the price pass-through effect. Our major finding is that due to globalization the US exhibits a high degree of de-industrialization indicated by a breakdown of the commodity price pass-through effect, while European and Chinese consumer prices exhibit a significant exposure to commodity price fluctuations.

Keywords: Commodities; Price pass-through; CPI; Inflation; VAR (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s43546-021-00192-0

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