Shocks sobre precios de commodities e inflación: Estimaciones de modelos de datos en panel dinámicos

Fernando Toledo; Nicolás Bertholet; Gabriel Montes-Rojas

doi:10.24215/18521649e034

Authors

Fernando Toledo Universidad Nacional de La Plata, Banco Central de la República Argentina, Argentina
Nicolás Bertholet Universidad de Buenos Aires, Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina
Gabriel Montes-Rojas Universidad de Buenos Aires y Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET)

DOI:

https://doi.org/10.24215/18521649e034

Keywords:

commodity inflation, passthrough to local inflation, panel data models

Abstract

We examine the effect of shocks that affect the rate of change in commodity prices on the inflation rate in a panel of 53 countries with quarterly data for the period I.1996-IV.2020 by estimating different autoregressive vector panel models. We find that 10 percentage points (pp) in the rate of variation in the price of Crude Oil generates a 0.5 pp increase in the inflation rate in the first quarter, with a cumulative effect of 1.2 pp. A shock in the price dynamics of Natural Gas has a similar effect. A 10 pp Food inflationary shock is associated with a contemporaneous increase of 1.3 pp percent in the first quarter, with a cumulative effect of 3 pp. The cumulative effect on the inflation rate is observed mainly in net commodity importers. When considering the asymmetries associated with increases and decreases in the rates of change in commodity prices, the effects are of different signs but of a similar magnitude with respect to their inflationary impact. Finally, during the period of financialization of commodities (2005-2015), we observed lesser effects on price variations in the short and long term.

Author Biographies

Fernando Toledo, Universidad Nacional de La Plata, Banco Central de la República Argentina, Argentina

B.A. in Economics (2002) and M.A in Economics (2005) from the Faculty of Economic Sciences of the National University of La Plata. He is an undergraduate professor at the Faculty of Economic Sciences of the National University of La Plata and has been a postgraduate professor at the Institute of Advanced Social Studies of the National University of San Martín. He has also been the Academic Coordinator of the Master's in Economic Development at the same institute. He has numerous local and international publications in peer-reviewed journals and books on various topics.
Nicolás Bertholet, Universidad de Buenos Aires, Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina

B.A. in Economics (2017) and M.A. in Economics (2023) from the University of Buenos Aires (UBA). He is an undergraduate professor at the Faculty of Economic Sciences of the University of Buenos Aires. He is a full professor of Macroeconomics of Open Economies in the Master's in Applied Economics at UBA and a Visiting Professor of Macroeconomics of Price, Quantities, and Money in the Master's in Economics at UBA and of Macroeconometrics in the Master's in Economic Development at UNSAM. He is a doctoral completion fellow at UBA.
Gabriel Montes-Rojas, Universidad de Buenos Aires y Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET)

B.A. in Economics from the University of Buenos Aires (UBA) in 1999, M.A. in Economics from the University of San Andrés (2002), Master of Science in Statistics (2006), and PhD in Economics (2007) from the University of Illinois at Urbana-Champaign (United States). He has been an Independent Researcher at CONICET (since 2013) at the Interdisciplinary Institute of Political Economy (IIEP-BAIRES-UBA) and a full professor of Econometrics I at UBA and Econometrics II at the National University of La Plata.

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