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On the dynamic price pass-through effect of commodities to CPI constituents

Authors
  • Cebiroğlu, Gökhan1
  • Avdiu, Kujtim2
  • Unger, Stephan3
  • 1 Vattenfall Energy Trading GmbH, Dammtorstraße 29-32, Hamburg, 20354, Germany , Hamburg (Germany)
  • 2 OeNB, Otto-Wagner-Platz 3, Vienna, 1090, Austria , Vienna (Austria)
  • 3 Saint Anselm College, Saint Anselm Drive 100, Manchester, NH, USA , Manchester (United States)
Type
Published Article
Journal
SN Business & Economics
Publisher
Springer-Verlag
Publication Date
Feb 08, 2022
Volume
2
Issue
3
Identifiers
DOI: 10.1007/s43546-021-00192-0
Source
Springer Nature
Keywords
Disciplines
  • Original Article
License
Yellow

Abstract

This paper analyzes the price pass-through effect of the most heavily traded commodities to CPI constituents. We investigate the differences between US, EU, and China CPI constituent dependency on commodity prices, and analyze the dynamics of the price pass-through effect. Our major finding is that due to globalization the US exhibits a high degree of de-industrialization indicated by a breakdown of the commodity price pass-through effect, while European and Chinese consumer prices exhibit a significant exposure to commodity price fluctuations.

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