NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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James M. Boughton

International Monetary Fund

Institutional Affiliation: International Monetary Fund

NBER Working Papers and Publications

November 1989Commodity Prices and Inflation: Evidence From Seven Large Industrial Countries
with William H. Branson, Alphecca Muttardy: w3158
This paper examines the relationships between movements in primary commodity prices and changes in inflation in the large industrial countries. It begins by developing a two-country model in order to examine the theoretical effects of monetary, fiscal, and supply-side disturbances on commodity and manufactures prices and on exchange rates. It is shown that 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. Non-monetary shocks generally weaken these relationships, but such disturbances may cancel out for broad indexes covering a wide range of commodities. Country-specific commodity price indexes are developed for the major industrial countries. The weights assigned t...
October 1988Commodity Prices as a Leading Indicator of Inflation
with William H. Branson: w2750
This paper studies the value of broad commodity price indexes as predictors of consumer price inflation in the G-7 industrial countries. After an introduction, the paper discusses the theoretical relationship between commodity and consumer prices and the conditions under which, in general, one would expect commodity prices to be a leading indicator of inflation. It then presents tests of the relationships between conventional broad indexes of commodity prices and consumer prices, and uses the data on individual commodities to generate the optimum weights in a commodity price index for forecasting G-7 inflation. We find that commodity and consumer prices are not co-integrated; the hypothesis that there is a reliable long-run relationship between the level of commodity prices and the level o...

Published: Leading Economic Indicators: New Approaches and Forecasting Records, edited by Kajal Lahiri and Geoffrey H. Moore, pp. 305-338. New York: Cambridge University Press, 1991.

 
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