Al-Shawarby, SherineSelim, Hoda2012-12-212012-12-212012-08https://hdl.handle.net/10986/12021This 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.en-USCC BY 3.0 IGOADMINISTERED PRICESADVANCED ECONOMIESAGRICULTUREBEHAVIOR OF PRICESBUDGET DEFICITCAPITAL INFLOWSCAPITALIST ECONOMIESCENTRAL BANKCENTRAL BANKSCEREALSCOMMODITIESCOMMODITYCOMMODITY PRICECOMMODITY PRICESCONSUMER PRICECONSUMER PRICESCONSUMER PROTECTIONCONSUMPTION BASKETCONSUMPTION EXPENDITURECORE INFLATIONCYCLICAL FLUCTUATIONSDEFLATIONDEPOSITSDEPRECIATIONDETERMINANTS OF INFLATIONDEVALUATIONDEVELOPING COUNTRIESDOMESTIC CONSUMPTIONDOMESTIC DEMANDDOMESTIC INFLATIONDOMESTIC PRICEDOMESTIC PRICE INFLATIONDOMESTIC PRICE LEVELDOMESTIC PRICESDUMMY VARIABLEDUMMY VARIABLESECONOMIC GROWTHECONOMIC POLICYEFFECTIVE EXCHANGE RATESEMERGING ECONOMIESEMERGING MARKETSEMERGING MARKETS ECONOMIESENDOGENOUS VARIABLESENERGY PRICESEXCHANGE RATEEXCHANGE RATE ANCHOREXCHANGE RATE PEGEXOGENOUS VARIABLEEXOGENOUS VARIABLESEXPENDITUREEXTERNAL SHOCKEXTERNAL SHOCKSFEDERAL RESERVEFEDERAL RESERVE BANKFISCAL BALANCESFISCAL POLICYFOOD CONSUMPTIONFOOD PRICEFOOD PRICE INFLATIONFOOD PRICESFOOD PRODUCTSFOOD SECURITYFOOD SUPPLYFOREIGN ASSETSFOREIGN CURRENCYFOREIGN PRICE LEVELFRUITSGROWTH RATESHIGH INFLATIONIMPORTIMPORT PRICESINCOMEINCOME TAXINFLATION DYNAMICSINFLATION EXPECTATIONSINFLATION MEASUREINFLATION MEASURESINFLATION MOVEMENTSINFLATION RATEINFLATION TARGETINGINFLATIONARY PRESSURESINTEREST RATEINTERNATIONAL FINANCIAL STATISTICSINTERNATIONAL INFLATIONINTERNATIONAL PRICEINTERNATIONAL PRICESLIQUIDITYLOCAL CURRENCYMACROECONOMIC VARIABLESMONETARY AUTHORITIESMONETARY POLICYMONETARY POLICY FRAMEWORKMONETARY POLICY FRAMEWORKSNOMINAL ANCHORNOMINAL EXCHANGE RATEOIL PRICEOUTPUTOUTPUT GAPPOLITICAL ECONOMYPOVERTY REDUCTIONPRICE ADJUSTMENTPRICE ADJUSTMENTSPRICE CHANGESPRICE INCREASESPRICE INDEXPRICE INDICESPRICE LEVELPRICE RIGIDITYPRICE STABILITYPRICE VOLATILITYPRICING STRATEGIESPRODUCER PRICEPRODUCER PRICE INDEXREAL EXCHANGE RATEREAL EXPORTSREAL INTEREST RATESREJECTIONRELATIVE PRICERETAILRETAILINGROBUSTNESS CHECKSSHORT-TERM INTEREST RATESSTANDARD DEVIATIONSTEELSUPPLY SHOCKSTAX RATESTRACK RECORDVARIANCE-COVARIANCE MATRIXVEGETABLESVOLATILITYWEIGHTSWFPWHEATWORLD ECONOMYWorld Bank10.1596/1813-9450-6177