World Commodity Prices as a Forecasting Tool for Retail Prices : Evidence From the United Kingdom

Author/Editor:

Alicia García-Herrero ; John Thornton

Publication Date:

June 1, 1997

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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. 97/70

Subject:

English

Publication Date:

June 1, 1997

ISBN/ISSN:

9781451960471/1018-5941

Stock No:

WPIEA0701997

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

15

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