Commodity prices and inflation: an application of structural VAR

Commodity prices and inflation: an application of structural VAR

The potential influence of global commodity prices on consumer price inflation has been a concern of researchers and policymakers for decades. Even though a body of literature has investigated such connections, the results are mixed. This study uses a structural vector autoregressive (SVAR) model to...

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Veröffentlicht in:Applied economics 2023-06, Vol.55 (27), p.3110-3120
Hauptverfasser: Shahrazi, Mahdi, Ghaderi, Saman, Sanginabadi, Bahram
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Sprache:eng
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Commodity prices
Economic analysis
Economic theory
Foreign exchange rates
Inflation
Iran
Policy making
structural vector autoregressive (SVAR) model
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container_end_page 3120
container_issue 27
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container_title Applied economics
container_volume 55
creator Shahrazi, Mahdi
Ghaderi, Saman
Sanginabadi, Bahram
description The potential influence of global commodity prices on consumer price inflation has been a concern of researchers and policymakers for decades. Even though a body of literature has investigated such connections, the results are mixed. This study uses a structural vector autoregressive (SVAR) model to investigate the impact of global commodity prices on Iran's inflation over the 2009:1-2018:11 period. We have included commodity price, exchange rate, and stock returns as explanatory variables in our model. Based on the findings of our long-run multiplier matrix the response of inflation to the commodity price shocks is positive and statistically significant. In other words, global commodity prices increase Iranian inflation. Also, the results suggest that the explanatory power of commodity price shocks in inflation fluctuations is higher than those of exchange rate and stock returns in the long run.
doi_str_mv 10.1080/00036846.2022.2108753
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subjects Commodity prices
Economic analysis
Economic theory
Foreign exchange rates
Inflation
Iran
Policy making
structural vector autoregressive (SVAR) model
title Commodity prices and inflation: an application of structural VAR
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