Shocks on commodity prices and inflation: Dynamic panel data estimations models

This paper examines the effect of shocks in the variation of commodity and energy prices on the inflation rate for a panel of 51 countries with quarterly data during the period I.1996-IV.2020. Different dynamic panel data models are estimated. The results show that a 10% variation in the price of Cr...

Descripción completa

Detalles Bibliográficos
Autores principales: Bertholet, Nicolás, Montes Rojas, Gabriel, Toledo, Fernando
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET) 2023
Materias:
precios de commodities
tasa de inflación
modelos de datos de panel
commodity prices
inflation
panel data models
Acceso en línea:https://ojs.economicas.uba.ar/DT-IIEP/article/view/2798
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2798_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-2798_oai
record_format dspace
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic precios de commodities
tasa de inflación
modelos de datos de panel
commodity prices
inflation
panel data models
spellingShingle precios de commodities
tasa de inflación
modelos de datos de panel
commodity prices
inflation
panel data models
Bertholet, Nicolás
Montes Rojas, Gabriel
Toledo, Fernando
Shocks on commodity prices and inflation: Dynamic panel data estimations models
topic_facet precios de commodities
tasa de inflación
modelos de datos de panel
commodity prices
inflation
panel data models
description This paper examines the effect of shocks in the variation of commodity and energy prices on the inflation rate for a panel of 51 countries with quarterly data during the period I.1996-IV.2020. Different dynamic panel data models are estimated. The results show that a 10% variation in the price of Crude Oil generates an increase by 0.28% in the inflation rate in the first quarter and a cumulative effect by around 0.5%. Similar effects are observed for Natural Gas: an increase in the Natural Gas price variation by 10% is linked to a rise in the inflation rate of around 0.27% in contemporary terms and to a cumulative effect by 0.5%. A 10% Food inflationary shock is linked to a contemporaneous increase by 0.83% in the inflation rate in the first quarter, accumulating 1.5% in subsequent periods. As a robustness test, a PVAR model is estimated with quarterly data for the same period applied to a balanced panel of 40 countries. The results confirm the previous evidence. In this case, an increase by 10% in the Crude Oil inflation leads to a rise by 0.1% in the inflation rate in the first two quarters, gradually disappearing (the cumulative effect is around 0.5%). A positive shock price by 10% on the variation in the Food produces a higher rate of inflation in the order by 0.6% in the first quarter, which is diluted in subsequent periods. The shocks that affect the Energy and Food inflation have an initial expansive effect on GDP and then turn negative, with a similar dynamic in the case of the effective nominal exchange rate.
format Artículo
publishedVersion
author Bertholet, Nicolás
Montes Rojas, Gabriel
Toledo, Fernando
author_facet Bertholet, Nicolás
Montes Rojas, Gabriel
Toledo, Fernando
author_sort Bertholet, Nicolás
title Shocks on commodity prices and inflation: Dynamic panel data estimations models
title_short Shocks on commodity prices and inflation: Dynamic panel data estimations models
title_full Shocks on commodity prices and inflation: Dynamic panel data estimations models
title_fullStr Shocks on commodity prices and inflation: Dynamic panel data estimations models
title_full_unstemmed Shocks on commodity prices and inflation: Dynamic panel data estimations models
title_sort shocks on commodity prices and inflation: dynamic panel data estimations models
publisher Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET)
publishDate 2023
url https://ojs.economicas.uba.ar/DT-IIEP/article/view/2798
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2798_oai
work_keys_str_mv AT bertholetnicolas shocksoncommoditypricesandinflationdynamicpaneldataestimationsmodels
AT montesrojasgabriel shocksoncommoditypricesandinflationdynamicpaneldataestimationsmodels
AT toledofernando shocksoncommoditypricesandinflationdynamicpaneldataestimationsmodels
AT bertholetnicolas shockssobrepreciosdecommoditieseinflacionestimacionesdemodelosdedatosenpaneldinamicos
AT montesrojasgabriel shockssobrepreciosdecommoditieseinflacionestimacionesdemodelosdedatosenpaneldinamicos
AT toledofernando shockssobrepreciosdecommoditieseinflacionestimacionesdemodelosdedatosenpaneldinamicos
_version_ 1825551293475717120
spelling I28-R145-2798_oai2025-02-11 Bertholet, Nicolás Montes Rojas, Gabriel Toledo, Fernando 2023-10-09 This paper examines the effect of shocks in the variation of commodity and energy prices on the inflation rate for a panel of 51 countries with quarterly data during the period I.1996-IV.2020. Different dynamic panel data models are estimated. The results show that a 10% variation in the price of Crude Oil generates an increase by 0.28% in the inflation rate in the first quarter and a cumulative effect by around 0.5%. Similar effects are observed for Natural Gas: an increase in the Natural Gas price variation by 10% is linked to a rise in the inflation rate of around 0.27% in contemporary terms and to a cumulative effect by 0.5%. A 10% Food inflationary shock is linked to a contemporaneous increase by 0.83% in the inflation rate in the first quarter, accumulating 1.5% in subsequent periods. As a robustness test, a PVAR model is estimated with quarterly data for the same period applied to a balanced panel of 40 countries. The results confirm the previous evidence. In this case, an increase by 10% in the Crude Oil inflation leads to a rise by 0.1% in the inflation rate in the first two quarters, gradually disappearing (the cumulative effect is around 0.5%). A positive shock price by 10% on the variation in the Food produces a higher rate of inflation in the order by 0.6% in the first quarter, which is diluted in subsequent periods. The shocks that affect the Energy and Food inflation have an initial expansive effect on GDP and then turn negative, with a similar dynamic in the case of the effective nominal exchange rate. Este trabajo examina el efecto de los shocks en la variación de precios de commodities y energía sobre la tasa de inflación para un panel de 51 países con datos trimestrales durante el periodo I.1996-IV.2020. Se estiman diferentes modelos de datos en panel dinámicos, cuyos resultados muestran que una variación del 10 % en el precio del Petróleo Crudo genera un incremento del 0.28 % en la tasa de inflación en el primer trimestre y un efecto acumulativo que ronda el 0.5 %. Efectos similares se observan para Gas Natural: un incremento en la variación del precio del Gas Natural de 10 % se vincula a una suba de la tasa de inflación en torno a 0.27 % en términos contemporáneos, y a un efecto acumulado de 0.5 %. Un shock inflacionario de Alimentos de 10 % se vincula a un aumento contemporáneo en la tasa de inflación de 0.83 % en el primer trimestre, acumulando 1.5 % en periodos posteriores. Como prueba de robustez, se estima un modelo PVAR con datos trimestrales para el mismo período aplicado a un panel balanceado de 40 países. Los resultados confirman la evidencia anterior. En este caso, un aumento del 10% en la variación del precio del Petróleo Crudo genera una suba del 0.1 % en la tasa de inflación en los dos primeros trimestres, desapareciendo gradualmente (el efecto acumulativo ronda el 0.5 %). Un shock positivo sobre la variación del precio de los Alimentos de 10 % produce un incremento en la tasa de inflación en el orden de 0.6 % en el primer trimestre, el cual se diluye en períodos posteriores. Los shocks que afectan la variación de precios de Energía y Alimentos tienen un efecto expansivo inicial sobre el PIB y se vuelven negativos luego, con una dinámica similar en el caso del tipo de cambio nominal efectivo. application/pdf https://ojs.economicas.uba.ar/DT-IIEP/article/view/2798 spa Instituto Interdisciplinario de Economía Política (IIEP UBA-CONICET) https://ojs.economicas.uba.ar/DT-IIEP/article/view/2798/3546 Derechos de autor 2023 IIEP UBA-CONICET Documentos de trabajo del Instituto Interdisciplinario de Economía Política; Núm. 82 (2023): Shocks sobre precios de commodities e inflación. Estimaciones de modelos de datos en panel dinámicos; 30 Working Papers series at Instituto Interdisciplinario de Economía Política; No. 82 (2023): : Shocks on commodity prices and inflation. Dynamic panel data estimations models; 30 2451-5728 precios de commodities tasa de inflación modelos de datos de panel commodity prices inflation panel data models Shocks on commodity prices and inflation: Dynamic panel data estimations models Shocks sobre precios de commodities e inflación: Estimaciones de modelos de datos en panel dinámicos info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=dociiep&d=2798_oai

Ejemplares similares