IMF Working Papers

World Commodity Prices as a Forecasting Tool for Retail Prices: Evidence From the United Kingdom

By John Thornton, Alicia García-Herrero

June 1, 1997

Download PDF

Preview Citation

Format: Chicago

John Thornton, and Alicia García-Herrero. World Commodity Prices as a Forecasting Tool for Retail Prices: Evidence From the United Kingdom, (USA: International Monetary Fund, 1997) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper investigates, using cointegration and Granger-causality techniques, whether a stable long-run co-movement exists between world commodity prices and U.K. retail prices, and whether short-run changes in commodity prices convey information about future movements in U.K. retail prices. The results show noncointegration and no unidirectional Granger causality from commodity to retail prices. These findings suggest that little may be gained from using developments in commodity prices to forecast movements in retail prices in the inflation-targeting framework followed by the U.K. monetary authorities.

Subject: Commodity price indexes, Commodity prices, Inflation, Inflation targeting, Monetary policy, Price indexes, Prices

Keywords: Causality from commodity price, Commodity, Commodity content, Commodity price, Commodity price indexes, Commodity prices, Commodity prices with U.K., Commodity stock, Decline in the commodity content of output, Error-correction term, Gold price index, Granger-causality technique, Granger-causality test, Impact of commodity price, Inflation, Inflation targeting, Monetary policy, Price index, Price indexes, RPIX, United Kingdom, Use of commodity price, World commodity price indices, WP

Publication Details

  • Pages:

    15

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 1997/070

  • Stock No:

    WPIEA0701997

  • ISBN:

    9781451960471

  • ISSN:

    1018-5941

You May Also Be Interested In...

Kiribati: Agricultural Subsidies for Copra: Improving Efficiency and Equity and Balancing Trade-offs

November 21, 2024

Quarterly Projection Model for the Bank of Ghana: Extensions and Applications

November 15, 2024

Foreign Exchange Intervention Under the Integrated Policy Framework: The Case of India

November 15, 2024

Central Bank Digital Currency: Progress And Further Considerations

November 8, 2024