Shocks sobre precios de commodities e inflación. Estimaciones de modelos de datos en panel dinámicos.
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| Title: | Shocks sobre precios de commodities e inflación. Estimaciones de modelos de datos en panel dinámicos. (Spanish). |
|---|---|
| Alternate Title: | Shocks on commodity prices and inflation. Dynamic panel data estimation models. (English) |
| Authors: | Bertholet, Nicolás, Montes-Rojas, Gabriel, Toledo, Fernando |
| Source: | Economica (00130419). 2024, Vol. 70, p1-21. 21p. |
| Subjects: | PRICES, PRICE inflation, NATURAL gas prices, PETROLEUM sales & prices, FINANCIALIZATION |
| Abstract (English): | 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. [ABSTRACT FROM AUTHOR] |
| Abstract (Spanish): | Examinamos el efecto de shocks que afectan la tasa de variación de precios de commodities sobre la tasa de inflación en un panel de 54 países con datos trimestrales para el período I.1996-IV.2020 mediante la estimación de distintos modelos de paneles de vectores autorregresivos. Encontramos que un aumento de 10 puntos porcentuales (pp) en la tasa de variación del precio del Petróleo Crudo genera un incremento del 0.5 pp por ciento en la tasa de inflación en el primer trimestre, con un efecto acumulado de 1.2 pp. Un shock en la dinámica del precio del Gas Natural tiene un efecto similar. Un shock inflacionario de Alimentos de 10 pp se asocia a un incremento contemporáneo de 1.3 pp por ciento en el primer trimestre, con un efecto acumulado de 3 pp. El efecto acumulativo sobre la tasa de inflación se observa en mayor medida en los importadores netos de commodities. Al considerar las asimetrías asociadas a incrementos y disminuciones en las tasas de variación de precios de commodities, los efectos son de signos distintos, pero de similar magnitud respecto a su impacto inflacionario. Finalmente, durante el período de financiarización de commodities (2005-2015), se advierten menores efectos sobre variaciones de precios en el corto y largo plazo. [ABSTRACT FROM AUTHOR] |
| Database: | Referencia Latina |
| FullText | Links: – Type: pdflink Text: Availability: 0 |
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| Header | DbId: zah DbLabel: Referencia Latina An: 182781556 RelevancyScore: 1030 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 1029.9453125 |
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| Items | – Name: Title Label: Title Group: Ti Data: Shocks sobre precios de commodities e inflación. Estimaciones de modelos de datos en panel dinámicos. <i>(Spanish). </i> – Name: TitleAlt Label: Alternate Title Group: TiAlt Data: Shocks on commodity prices and inflation. Dynamic panel data estimation models.<i> (English)</i> – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Bertholet%2C+Nicolás%22">Bertholet, Nicolás</searchLink><br /><searchLink fieldCode="AR" term="%22Montes-Rojas%2C+Gabriel%22">Montes-Rojas, Gabriel</searchLink><br /><searchLink fieldCode="AR" term="%22Toledo%2C+Fernando%22">Toledo, Fernando</searchLink> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Economica+%2800130419%29%22">Economica (00130419)</searchLink>. 2024, Vol. 70, p1-21. 21p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22PRICES%22">PRICES</searchLink><br /><searchLink fieldCode="DE" term="%22PRICE+inflation%22">PRICE inflation</searchLink><br /><searchLink fieldCode="DE" term="%22NATURAL+gas+prices%22">NATURAL gas prices</searchLink><br /><searchLink fieldCode="DE" term="%22PETROLEUM+sales+%26+prices%22">PETROLEUM sales & prices</searchLink><br /><searchLink fieldCode="DE" term="%22FINANCIALIZATION%22">FINANCIALIZATION</searchLink> – Name: Abstract Label: Abstract (English) Group: Ab Data: 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. [ABSTRACT FROM AUTHOR] – Name: Abstract Label: Abstract (Spanish) Group: Ab Data: Examinamos el efecto de shocks que afectan la tasa de variación de precios de commodities sobre la tasa de inflación en un panel de 54 países con datos trimestrales para el período I.1996-IV.2020 mediante la estimación de distintos modelos de paneles de vectores autorregresivos. Encontramos que un aumento de 10 puntos porcentuales (pp) en la tasa de variación del precio del Petróleo Crudo genera un incremento del 0.5 pp por ciento en la tasa de inflación en el primer trimestre, con un efecto acumulado de 1.2 pp. Un shock en la dinámica del precio del Gas Natural tiene un efecto similar. Un shock inflacionario de Alimentos de 10 pp se asocia a un incremento contemporáneo de 1.3 pp por ciento en el primer trimestre, con un efecto acumulado de 3 pp. El efecto acumulativo sobre la tasa de inflación se observa en mayor medida en los importadores netos de commodities. Al considerar las asimetrías asociadas a incrementos y disminuciones en las tasas de variación de precios de commodities, los efectos son de signos distintos, pero de similar magnitud respecto a su impacto inflacionario. Finalmente, durante el período de financiarización de commodities (2005-2015), se advierten menores efectos sobre variaciones de precios en el corto y largo plazo. [ABSTRACT FROM AUTHOR] |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.24215/18521649e034 Languages: – Code: spa Text: Spanish PhysicalDescription: Pagination: PageCount: 21 StartPage: 1 Subjects: – SubjectFull: PRICES Type: general – SubjectFull: PRICE inflation Type: general – SubjectFull: NATURAL gas prices Type: general – SubjectFull: PETROLEUM sales & prices Type: general – SubjectFull: FINANCIALIZATION Type: general Titles: – TitleFull: Shocks sobre precios de commodities e inflación. Estimaciones de modelos de datos en panel dinámicos. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Bertholet, Nicolás – PersonEntity: Name: NameFull: Montes-Rojas, Gabriel – PersonEntity: Name: NameFull: Toledo, Fernando IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 01 Text: 2024 Type: published Y: 2024 Identifiers: – Type: issn-print Value: 00130419 Numbering: – Type: volume Value: 70 Titles: – TitleFull: Economica (00130419) Type: main |
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