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Effects of Global Liquidity on Commodity and Food Prices

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  • Belke, Ansgar
  • Bordon, Ingo G.
  • Volz, Ulrich

Abstract

This article investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980–2011. Our results support the hypothesis that there is a positive long-run relation between global liquidity and the development of food and commodity prices, and that food and commodity prices adjust significantly to this cointegrating relation. Global liquidity, in contrast, does not adjust, it drives the relationship.

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Bibliographic Info

Article provided by Elsevier in its journal World Development.

Volume (Year): 44 (2013)
Issue (Month): C ()
Pages: 31-43

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Handle: RePEc:eee:wdevel:v:44:y:2013:i:c:p:31-43

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Web page: http://www.elsevier.com/locate/worlddev

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Keywords: commodity prices; food prices; global liquidity; cointegration; CVAR analysis;

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Cited by:
  1. Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," Working Papers 17096, University of Tasmania, School of Economics and Finance, revised 09 Jan 2013.
  2. Ansgar Belke, 2014. "Exit Strategies and Their Impact on the Euro Area - A Model Based View," Ruhr Economic Papers 0467, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  3. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
  4. Ansgar Belke, 2013. "Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield," Ruhr Economic Papers 0429, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  5. Thomas Goda & Alejandro Torres, 2013. "Overvaluation of the real exchange rate and the Dutch Disease: the Colombian case," DOCUMENTOS DE TRABAJO CIEF 010930, UNIVERSIDAD EAFIT.

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