World Commodity Prices as a Forecasting Tool for Retail Prices: Evidence From the United Kingdom
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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.
Series:
Working Paper No. 1997/070
Subject:
Commodity price indexes Commodity prices Inflation Inflation targeting Monetary policy Price indexes Prices
English
Publication Date:
June 1, 1997
ISBN/ISSN:
9781451960471/1018-5941
Stock No:
WPIEA0701997
Pages:
15
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