Abstract

This paper examines the role of aggregate productivity and money supply shocks in determining the relationship between inflation and the distribution of relative commodity prices. I estimate a restricted VAR that includes aggregate variables and individual commodity prices and compute the cross-sectional distribution of the dynamic responses of commodity prices to these aggregate shocks. The findings indicate that both shocks lead to positive correlation between inflation and the dispersion of relative prices and that the response of prices across commodities is not uniform, even in the long run.

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Additional Information

ISSN
1538-4616
Print ISSN
0022-2879
Pages
pp. 2159-2198
Launched on MUSE
2007-01-22
Open Access
No
Archive Status
Archived 2007
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