Feeding Inflation: The Non‐Linear Spillovers of Global Food Commodities
研究全球食品价格冲击对通胀的非线性影响，发现高通胀时期敏感性更高，且在新兴和发展中经济体尤为显著。
ABSTRACT 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.