The Linkage of Global Raw Material Prices and Taiwan's CPI Level

Hu, Jin-Li, Chin-Yi Fang and Tsung-Hsien Kuo (2009), "Linkage of Global Raw Material Prices and Taiwan's CPI Level," Empirical Economics Letters, Vol. 8, No. 3, pp.261-270.

10 Pages Posted: 27 Apr 2012

See all articles by Jin‐Li Hu

Jin‐Li Hu

National Chiao Tung University

Chin-Yi Fang

affiliation not provided to SSRN

Tsung-Hsien Kuo

affiliation not provided to SSRN

Date Written: March 2009

Abstract

This paper examines cointegration and Granger causality between Taiwan’s consumer price index (CPI) and raw material import price indices, including crude oil, steel, copper, aluminum, corn, and soybean with monthly data during 1991-2007. By applying Hsiao's version of the Granger causality method, causality running from crude oil import price and corn import price to CPI is found. The impulse-response simulations show that the CPI tends to have positive responses to the shock of crude oil, steel, corn, and soybean import price indices at the initial period. In response to these shocks, the CPI fluctuates up and down around the pre-shock level and gradually becomes stable after 20 months.

Keywords: Consumer price index (CPI), Raw material import price indices, Cointegration, Granger causality

JEL Classification: C53, E31, N75, O13

Suggested Citation

Hu, Jin-Li and Fang, Chin-Yi and Kuo, Tsung-Hsien, The Linkage of Global Raw Material Prices and Taiwan's CPI Level (March 2009). Hu, Jin-Li, Chin-Yi Fang and Tsung-Hsien Kuo (2009), "Linkage of Global Raw Material Prices and Taiwan's CPI Level," Empirical Economics Letters, Vol. 8, No. 3, pp.261-270. , Available at SSRN: https://ssrn.com/abstract=2046128

Jin-Li Hu (Contact Author)

National Chiao Tung University ( email )

No. 1001, Daxue Rd, East District
Hsinchu, 300
Taiwan

HOME PAGE: http://jinlihu.tripod.com

Chin-Yi Fang

affiliation not provided to SSRN

Tsung-Hsien Kuo

affiliation not provided to SSRN

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