A0393
Title: Feeding inflation: The non-linear spillovers of global food commodities
Authors: Stephane Dees - Banque de France (France) [presenting]
Abstract: The role of global food price shocks in driving inflation dynamics is examined, with a particular focus on non-linear effects and heterogeneity across countries. Using a Bayesian vector autoregression (BVAR) approach, global food price shocks are identified, and their impact is assessed on inflation. Quantile regressions reveal that inflation's sensitivity to food price shocks is significantly higher in high-inflation regimes, with elasticity estimates being significantly larger for higher percentiles compared to the median. Additionally, panel estimations indicate that this sensitivity is particularly pronounced in emerging markets and developing economies, where food constitutes a larger share of household consumption. Findings contribute to the literature on global inflation synchronization and highlight the importance of accounting for inflation regimes when analyzing the transmission of commodity price shocks.
