More on the Energy/Non-Energy Commodity Price Link

17 Pages Posted: 20 Apr 2016

Date Written: June 1, 2009

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

Suggested Citation

Baffes, John, More on the Energy/Non-Energy Commodity Price Link (June 1, 2009). World Bank Policy Research Working Paper Series, Vol. , pp. -, 2009. Available at SSRN: https://ssrn.com/abstract=1428629

John Baffes (Contact Author)

World Bank ( email )

1818 H Street, N.W.
Washington, DC 20433
United States

HOME PAGE: http://econ.worldbank.org/staff/jbaffes

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