Feeding Inflation

The Non‐Linear Spillovers of Global Food Commodities

Bibliographic Data

ID21512690
AuthorsStéphane Dées (0000-0002-6783-3416, Banque de France and Bordeaux School of Economics Paris France, corresponding author)
Year2026
Publication date2026-03-27
Open AccessYes
TypeARTICLE
VenueOxford Bulletin of Economics and Statistics (JOURNAL)
Journal identifiersISSN: 0305-9049 • E-ISSN: 1468-0084
PublisherWiley (PUBLISHER • GB)
DOI10.1111/obes.70064
OpenAlexW7140984855
LanguageEN
References cited32

This paper examines the role of global food price shocks in driving inflation dynamics, with a particular focus on non‐linear effects and heterogeneity across countries. Using a Bayesian Vector Autoregression (BVAR) approach, we identify global food price shocks and assess their impact 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 economies and developing countries, where food constitutes a larger share of household consumption. Our findings contribute to the literature on global inflation synchronisation and highlight the importance of accounting for inflation regimes when analysing the transmission of food commodity price shocks

Bayesian vector autoregression · Commodity · Core inflation · Food prices · Price shock · Quantile · Quantile regression · Vector autoregression · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact

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