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Book
Commodity Prices As a Leading Indicator of Inflation.
Authors: ---
ISBN: 1462339875 1455295922 Year: 1988 Publisher: Washington, D.C. : International Monetary Fund,

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Abstract

Commodity prices may be a leading indicator of inflation, because of the relative importance of flexible auction markets for the determination of these prices. Empirical tests using data for the large industrial countries as a group suggest that changes in commodity prices tend to lead those in consumer prices, and that the inclusion of commodity prices significantly improves the fit of regressions of a multi-country consumer price index. However, there does not appear to be a reliable long-run relationship between the level of commodity prices and the level of consumer prices.


Book
Commodity Prices and Inflation : Evidence from Seven Large Industrial Countries.
Authors: ---
ISBN: 1462381278 1455253413 1451958978 1455241423 Year: 1989 Publisher: Washington, D.C. : International Monetary Fund,

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A two-country theoretical model is presented, showing the effects of monetary, fiscal, and supply-side disturbances on prices of primary commodities and manufactured goods, and on exchange rates. If monetary shocks dominate, then commodity prices should lead general price movements, and the level of commodity prices should be correlated with the general inflation rate. Country-specific commodity price indexes are developed for the major industrial countries. Several empirical tests broadly support the conclusions of the model. Commodity price levels tend to be cointegrated with consumer-price inflation rates. Commodity price movements contribute weakly to predictions of inflation rates but more strongly to predictions of turning points in inflation.


Book
How to Design a Fiscal Strategy in a Resource-Rich Country: Guidance Note on the Excel Template (v1.0).
Authors: ---
ISBN: 1513571869 Year: 2021 Publisher: Washington, D.C. : International Monetary Fund,

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This guidance note describes how to use the Excel-based template developed by the Fiscal Affairs Department (FAD) of the IMF accompanying the note “How to Design a Fiscal Strategy in a Resource-Rich Country.” This template uses data inputs to generate simulations of fiscal policy dynamics. It helps IMF teams and country authorities in RRCs analyze trade-offs associated with alternative fiscal strategies for the use of public resource wealth. Visualizing these trade-offs and assessing their sensitivity to underlying macroeconomic assumptions can help inform policymakers on the most appropriate fiscal strategy, given country-specific circumstances.


Book
World Commodity Prices as a Forecasting Tool for Retail Prices : Evidence From the United Kingdom
Authors: ---
ISBN: 1462341926 1452782555 1283553759 9786613866202 1451895631 Year: 1997 Publisher: Washington, D.C. : International Monetary Fund,

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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.


Book
Debt Build-up in Frontier Low-Income Developing Countries (LIDCs) since 2012: Global or Country-specific Factors and Way Forward?
Authors: --- ---
ISBN: 1484396243 1498301460 1498301428 Year: 2019 Publisher: Washington, D.C. : International Monetary Fund,

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This paper focuses on the debt build-up that frontier low-income developing countries (LIDCs) have faced since 2012. First, it documents a 20-percentage point increase in the external and government debt-to-GDP ratios, a composition shift toward higher non-concessional debt, and a rise in interest rate payments. Second, using panel regressions, it shows that while both global and country-specific factors are correlated with debt-to-GDP ratios over 1998–2016, global factors dominate for the period 2012–16. Third, through a small open-economy model, it shows that the projected tightening in global financial conditions would reduce debt-to-GDP ratios by less than the increase associated with the expected rise in investment.


Book
Commodity and Manufactures Prices in the Long Run
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ISBN: 1462394434 1455208108 Year: 1991 Publisher: Washington, D.C. : International Monetary Fund,

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The low level of primary commodity prices since 1985 is examined in the context of the behavior of those prices relative to prices of manufactured goods since 1854. The Prebisch-Singer hypothesis of a secular decline in relative commodity prices is sustained, but the recent decline is shown to be well outside the realm of historical experience. Commodity and manufactures prices are found to be cointegrated, conditional on the negative trend and a number of unexplained short-term swings. The earlier finding of a Gibson paradox is explained in terms of the difference between short- and long-run relationships.


Book
The Long-Run Behavior of Commodity Prices : Small Trends and Big Variability
Authors: ---
ISBN: 1462355048 1452778515 1281599972 1451895518 9786613780669 Year: 2001 Publisher: Washington, D.C. : International Monetary Fund,

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Using the longest dataset publicly available (The Economist's index of industrial commodity prices), we analyze the behavior of real commodity prices over the period 1862-99, and have two main findings. First, while there has been a downward trend in real commodity prices of 1.3 percent per year over the last 140 years, little support is found for a break in the long-run trend decline in commodity prices. Second, there is evidence of a ratcheting up in the variability of price movements. The amplitude of price movements increased in the early 1900s, while the frequency of large price movements increased after the collapse of the Bretton Woods regime of fixed exchange rates in the early 1970s. While there is a downward trend in real commodity prices, this is of little practical policy relevance as it is small and completely dominated by the variability of prices.


Book
The Myth of Comoving Commodity Prices
Authors: --- ---
ISBN: 1462391230 1452715882 1282111795 9786613803986 145190357X Year: 1999 Publisher: Washington, D.C. : International Monetary Fund,

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There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in the same boom period or same slump period. Using data on the prices of several unrelated commodities, the paper finds no evidence of comovement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behavior by participants in world commodity markets.


Book
Recent Inflationary Trends in World Commodities Markets
Author:
ISBN: 1462322506 145277935X 1283512602 145199804X 9786613825056 Year: 2008 Publisher: Washington, D.C. : International Monetary Fund,

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Abstract

Expansionary monetary policies in key industrial countries and sharply depreciating U.S. dollar exchange rate sent commodities prices soaring at unprecedented rates during 2003-2007. Food prices rose to alarming levels threatening malnutrition and food riots. In contrast, consumer price indices, a leading indicator for monetary policy, were showing almost no inflation and posed a price puzzle insofar their evolution was not responsive to record low interest rates, double digit commodities inflation, and sharp exchange rate depreciation. Commodities prices were shown to be driven by one common trend, identified as a monetary shock. Policy makers may have to face a policy dilemma: maintain monetary policy stance with accelerating commodities price inflation, subsequent world recession, and financial disorder; or tighten monetary policy with subsequent world recession followed by recovery and financial and price stability.


Book
Sharing a Ride on the Commodities Roller Coaster : Common Factors in Business Cycles of Emerging Economies
Authors: --- ---
ISBN: 1513510444 1513562665 1513549421 Year: 2015 Publisher: Washington, D.C. : International Monetary Fund,

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Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs’ business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a ”spillover” effect from commodity prices to risk premia.

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