IDEAS home Printed from https://ideas.repec.org/a/sae/emeeco/v3y2011i2p223-246.html
   My bibliography  Save this article

Commodity Prices and Domestic Inflation in India

Author

Listed:
  • Ajit R. Joshi

    (Ajit R. Joshi, Research Scholar, Indian Institute of Technology Madras, Chennai, India. E-mail: ajitjoshirbi@gmail.com)

  • Debashis Acharya

    (Debashis Acharya, Associate Professor, Department of Economics, University of Hyderabad, Hyderabad. E-mail: debuiitm@gmail.com)

Abstract

In this article, the relationship between international prices of primary commodities and domestic inflation in India has been explored empirically for the period 1994 to 2007. For this purpose a commodity price index with international price quotations and domestic WPI weights has been constructed. The empirical results show that cointegration between international and domestic prices has grown stronger in the period since 2000. The co-movement is found at both aggregate indices as also the sub-groups viz. fuel and manufactured products. While carrying out this analysis, it was found that it is necessary to use an appropriate index, in order to capture the country-specific exposure, rather than using the aggregate indices published by international agencies, whose coverage and weights may not represent the risks and exposures of specific countries.

Suggested Citation

  • Ajit R. Joshi & Debashis Acharya, 2011. "Commodity Prices and Domestic Inflation in India," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 3(2), pages 223-246, May.
    • Handle: RePEc:sae:emeeco:v:3:y:2011:i:2:p:223-246
    DOI: 10.1177/097491011100300204
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/097491011100300204
    Download Restriction: no
    File URL: https://libkey.io/10.1177/097491011100300204?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Calista Cheung & Sylvie Morin, 2007. "The Impact of Emerging Asia on Commodity Prices," Money Affairs, CEMLA, vol. 0(2), pages 181-224, July-Dece.
    2. Mahdavi, Saeid & Zhou, Su, 1997. "Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance," Journal of Economics and Business, Elsevier, vol. 49(5), pages 475-489.
    3. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    4. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
    2. Pratap Kumar JENA, 2016. "Commodity market integration and price transmission: Empirical evidence from India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 283-306, Autumn.
    3. Thi Hong Van Hoang & Amine Lahiani & David Heller, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Post-Print hal-02012307, HAL.
    4. 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).
    5. Pratap Kumar JENA, 2016. "Commodity market integration and price transmission: Empirical evidence from India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(608), A), pages 283-306, Autumn.
    6. Biru Paksha Paul & Hassan Zaman, 2013. "When and Why does Bangladesh’s Inflation Differ from India’s?," Working Papers id:5599, eSocialSciences.
    7. Rexford Abaidoo & Elvis Kwame Agyapong, 2023. "Global food price volatility and inflationary pressures among developing economies," SN Business & Economics, Springer, vol. 3(10), pages 1-21, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Charbel Bassil & Hassan Hamadi & Patrick Mardini, 2019. "Gold and oil prices: stable or unstable long-run relationship," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 57-72, January.
    2. Aye, Goodness C. & Chang, Tsangyao & Gupta, Rangan, 2016. "Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model," Resources Policy, Elsevier, vol. 48(C), pages 77-84.
    3. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
    4. Nagayasu, Jun, 2010. "Macroeconomic interdependence in East Asia," Japan and the World Economy, Elsevier, vol. 22(4), pages 219-227, December.
    5. Vassilis Monastiriotis & Cigdem Borke Tunali, 2020. "The Sustainability of External Imbalances in the European Periphery," Open Economies Review, Springer, vol. 31(2), pages 273-294, April.
    6. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
    7. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    8. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
    9. Camgöz, Mevlüt & Topal, Mehmet Hanefi, 2022. "Identifying the asymmetric price dynamics of Islamic equities: Implications for international investors," Research in International Business and Finance, Elsevier, vol. 60(C).
    10. Dongwon Lee & Yu-chin Chen, 2014. "What Makes a Commodity Currency?," Working Papers 201420, University of California at Riverside, Department of Economics.
    11. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    12. Karakotsios, Achillefs & Katrakilidis, Constantinos & Kroupis, Nikolaos, 2021. "The dynamic linkages between food prices and oil prices. Does asymmetry matter?," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    13. Onel, Gulcan & Utkulu, Utku, 2006. "Modeling the long-run sustainability of Turkish external debt with structural changes," Economic Modelling, Elsevier, vol. 23(4), pages 669-682, July.
    14. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
    15. Roberto Cellini & Tiziana Cuccia, 2013. "Museum and monument attendance and tourism flow: a time series analysis approach," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3473-3482, August.
    16. Philippe Andrade & Catherine Bruneau, 2002. "Excess returns, portfolio choices and exchange rate dynamics. The yen/dollar case, 1980–1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 233-256, July.
    17. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
    18. Eregha, Perekunah B. & Aworinde, Olalekan B. & Vo, Xuan Vinh, 2022. "Modeling twin deficit hypothesis with oil price volatility in African oil-producing countries," Resources Policy, Elsevier, vol. 75(C).
    19. Sushanta K. Mallick, 2014. "Disentangling the Poverty Effects of Sectoral Output, Prices, and Policies in India," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(4), pages 773-801, December.
    20. Saten Kumar & Don J. Webber & Geoff Perry, 2012. "Real wages, inflation and labour productivity in Australia," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2945-2954, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:emeeco:v:3:y:2011:i:2:p:223-246. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.emergingmarketsforum.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.