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US inflation and global commodity prices: Asymmetric interdependence

Author

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  • Pan, Zhigang
  • Bai, Zhihong
  • Xing, Xiaochao
  • Wang, Zhufeng

Abstract

Out of concern about high post-COVID-19 inflation, we examine the dynamic relationship between US inflation and global commodity prices by using the asymmetric Granger causality test. From the time-domain perspective, we can observe that the Granger causality between inflation and global commodity prices is mainly reflected in their negative impact on each other. The frequency-domain results further reveal this complex mechanism of their influence. The influence of lower inflation on global commodity prices gradually becomes significant in the medium term. Conversely, low commodity prices significantly affect inflation for almost the whole period. Finally, we verify the validity and rationality of asymmetric Granger causality analysis by robustness checks. These findings have important implications for policymakers and market expectations.

Suggested Citation

  • Pan, Zhigang & Bai, Zhihong & Xing, Xiaochao & Wang, Zhufeng, 2024. "US inflation and global commodity prices: Asymmetric interdependence," Research in International Business and Finance, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370
    DOI: 10.1016/j.ribaf.2024.102245
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    More about this item

    Keywords

    Inflation; Global commodity prices; Granger causality test; Asymmetric; Frequency domain;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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