Are International Food Price Spikes the Source of Egypt's High Inflation?

This paper examines whether domestic inflation spikes in Egypt during 2001-2011 were primarily the result of external food price shocks. To estimate the pass-through of international food price inflation to domestic price inflation, two different methodologies are used: a two-step regression model estimates the pass-through in the long run, and a vector autoregression model provides the short-run estimates. The empirical evidence confirms that pass-through is high in the short term, but not in the long run. More precisely, the results show that (i) long-run pass-through to domestic food inflation is relatively low, lying between 13 and 16 percent, while the long-term spill-over from domestic food inflation to core inflation is moderate, lying around 60 percent; (ii) in the short term, pass-through is relatively high, estimated around 29 percent after 6 months and around two-thirds after a year, but the spill-over effect to core inflation is limited; (iii) international food price shocks explain only a small portion of domestic inflation shocks in both the short and long terms; and (iv) international price inflation has asymmetric effects on domestic prices.

Bibliographic Details

Main Authors:	Al-Shawarby, Sherine, Selim, Hoda
Format:	Policy Research Working Paper biblioteca
Language:	English en_US
Published:	World Bank, Washington, DC 2012-08
Subjects:	ADMINISTERED PRICES, ADVANCED ECONOMIES, AGRICULTURE, BEHAVIOR OF PRICES, BUDGET DEFICIT, CAPITAL INFLOWS, CAPITALIST ECONOMIES, CENTRAL BANK, CENTRAL BANKS, CEREALS, COMMODITIES, COMMODITY, COMMODITY PRICE, COMMODITY PRICES, CONSUMER PRICE, CONSUMER PRICES, CONSUMER PROTECTION, CONSUMPTION BASKET, CONSUMPTION EXPENDITURE, CORE INFLATION, CYCLICAL FLUCTUATIONS, DEFLATION, DEPOSITS, DEPRECIATION, DETERMINANTS OF INFLATION, DEVALUATION, DEVELOPING COUNTRIES, DOMESTIC CONSUMPTION, DOMESTIC DEMAND, DOMESTIC INFLATION, DOMESTIC PRICE, DOMESTIC PRICE INFLATION, DOMESTIC PRICE LEVEL, DOMESTIC PRICES, DUMMY VARIABLE, DUMMY VARIABLES, ECONOMIC GROWTH, ECONOMIC POLICY, EFFECTIVE EXCHANGE RATES, EMERGING ECONOMIES, EMERGING MARKETS, EMERGING MARKETS ECONOMIES, ENDOGENOUS VARIABLES, ENERGY PRICES, EXCHANGE RATE, EXCHANGE RATE ANCHOR, EXCHANGE RATE PEG, EXOGENOUS VARIABLE, EXOGENOUS VARIABLES, EXPENDITURE, EXTERNAL SHOCK, EXTERNAL SHOCKS, FEDERAL RESERVE, FEDERAL RESERVE BANK, FISCAL BALANCES, FISCAL POLICY, FOOD CONSUMPTION, FOOD PRICE, FOOD PRICE INFLATION, FOOD PRICES, FOOD PRODUCTS, FOOD SECURITY, FOOD SUPPLY, FOREIGN ASSETS, FOREIGN CURRENCY, FOREIGN PRICE LEVEL, FRUITS, GROWTH RATES, HIGH INFLATION, IMPORT, IMPORT PRICES, INCOME, INCOME TAX, INFLATION DYNAMICS, INFLATION EXPECTATIONS, INFLATION MEASURE, INFLATION MEASURES, INFLATION MOVEMENTS, INFLATION RATE, INFLATION TARGETING, INFLATIONARY PRESSURES, INTEREST RATE, INTERNATIONAL FINANCIAL STATISTICS, INTERNATIONAL INFLATION, INTERNATIONAL PRICE, INTERNATIONAL PRICES, LIQUIDITY, LOCAL CURRENCY, MACROECONOMIC VARIABLES, MONETARY AUTHORITIES, MONETARY POLICY, MONETARY POLICY FRAMEWORK, MONETARY POLICY FRAMEWORKS, NOMINAL ANCHOR, NOMINAL EXCHANGE RATE, OIL PRICE, OUTPUT, OUTPUT GAP, POLITICAL ECONOMY, POVERTY REDUCTION, PRICE ADJUSTMENT, PRICE ADJUSTMENTS, PRICE CHANGES, PRICE INCREASES, PRICE INDEX, PRICE INDICES, PRICE LEVEL, PRICE RIGIDITY, PRICE STABILITY, PRICE VOLATILITY, PRICING STRATEGIES, PRODUCER PRICE, PRODUCER PRICE INDEX, REAL EXCHANGE RATE, REAL EXPORTS, REAL INTEREST RATES, REJECTION, RELATIVE PRICE, RETAIL, RETAILING, ROBUSTNESS CHECKS, SHORT-TERM INTEREST RATES, STANDARD DEVIATION, STEEL, SUPPLY SHOCKS, TAX RATES, TRACK RECORD, VARIANCE-COVARIANCE MATRIX, VEGETABLES, VOLATILITY, WEIGHTS, WFP, WHEAT, WORLD ECONOMY,
Online Access:	http://documents.worldbank.org/curated/en/2012/08/16620776/international-food-price-spikes-source-egypts-high-inflation http://hdl.handle.net/10986/12021
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