Effects of Global Liquidity on Commodity and Food Prices
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
- Surrey, M J C, 1989. "Money, Commodity Prices and Inflation: Some Simple Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(3), pages 219-38, August.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
- Allan H. Meltzer, 1995. "Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 49-72, Fall.
- Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2009.
"Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries,"
Ruhr Economic Papers
0102, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Ansgar Belke & Ingo Bordon & Torben Hendricks, 2010. "Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 227-242.
- Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2009. "Global Liquidity and Commodity Prices: A Cointegrated VAR Approach for OECD Countries," Discussion Papers of DIW Berlin 898, DIW Berlin, German Institute for Economic Research.
- Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
- Jeff Fuhrer & George Moore, 1989.
"Monetary policy rules and the indicator properties of asset prices,"
Finance and Economics Discussion Series
89, Board of Governors of the Federal Reserve System (U.S.).
- Fuhrer, Jeff & Moore, George, 1992. "Monetary policy rules and the indicator properties of asset prices," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 303-336, April.
- Beyer, Andreas & Doornik, Jurgen A & Hendry, David F, 2001.
"Constructing Historical Euro-Zone Data,"
Royal Economic Society, vol. 111(469), pages F102-21, February.
- Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000. "Constructing Historical Euro-Zone Data," Economics Working Papers eco2000/10, European University Institute.
- David Hendry & Jurgen Doornik, 2000. "Constructing Historical Euro-Zone Data," Economics Series Working Papers 4, University of Oxford, Department of Economics.
- Matteo Ciccarelli & Benoît Mojon, 2007.
Kiel Working Papers
1337, Kiel Institute for the World Economy.
- Matteo Ciccarelli & Benoît Mojon, 2008. "Global inflation," Working Paper Series WP-08-05, Federal Reserve Bank of Chicago.
- Ciccarelli, Matteo & Mojon, Benoît, 2005. "Global inflation," Working Paper Series 0537, European Central Bank.
- Matteo Ciccarelli & Benoît Mojon, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile.
- Rüffer, Rasmus & Stracca, Livio, 2006.
"What is global excess liquidity, and does it matter?,"
Working Paper Series
0696, European Central Bank.
- Rasmus Ruffer & Livio Stracca, 2007. "What is global excess liquidity, and does it matter?," Money Macro and Finance (MMF) Research Group Conference 2006 120, Money Macro and Finance Research Group.
- Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2013.
"Primary commodity prices: Co-movements, common factors and fundamentals,"
Journal of Development Economics,
Elsevier, vol. 101(C), pages 16-26.
- Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2010. "Primary commodity prices: co-movements, common factors and fundamentals," Working Papers 2010_27, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2011. "Primary commodity prices : co-movements, common factors and fundamentals," Policy Research Working Paper Series 5578, The World Bank.
- Sousa, Joao Miguel & Zaghini, Andrea, 2006.
"Global monetary policy shocks in the G5: A SVAR approach,"
CFS Working Paper Series
2006/30, Center for Financial Studies (CFS).
- Sousa, Joao Miguel & Zaghini, Andrea, 2007. "Global monetary policy shocks in the G5: A SVAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 403-419, December.
- Joao Miguel Sousa & Andrea Zaghini, 2007. "Global Monetary Policy Shocks in the G5: a SVAR Approach," CEIS Research Paper 89, Tor Vergata University, CEIS.
- Tim Congdon, 2007. "Too Much Money Chasing Too Few Assets Spells Danger!," Economic Affairs, Wiley Blackwell, vol. 27(1), pages 86-86, 03.
- Adalid, Ramón & Detken, Carsten, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series 0732, European Central Bank.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- Wayne D. Angell, 1992. "Commodity Prices and Monetary Policy: What Have We Learned?," Cato Journal, Cato Journal, Cato Institute, vol. 12(1), pages 185-192, Spring/Su.
- Trostle, Ronald, 2008. "Factors Contributing to Recent Increases in Food Commodity Prices (PowerPoint)," Seminars 43902, USDA Economists Group.
- Pindyck, Robert S. & Rotemberg, Julio., 1987.
"The excess co-movement of commodity prices,"
1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Cody, Brian J & Mills, Leonard O, 1991. "The Role of Commodity Prices in Formulating Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 358-65, May.
- Kilian, Lutz, 2006.
"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,"
CEPR Discussion Papers
5994, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-69, June.
- Claudio E. V. Borio & Andrew Filardo, 2007. "Globalisation and inflation: New cross-country evidence on the global determinants of domestic inflation," BIS Working Papers 227, Bank for International Settlements.
- Modena, Matteo, 2011. "Agricultural commodities and financial markets," MPRA Paper 36416, University Library of Munich, Germany, revised 30 Sep 2011.
- Akito Matsumoto, 2011. "Global Liquidity; Availability of Funds for Safe and Risky Assets," IMF Working Papers 11/136, International Monetary Fund.
- Lombardi, Marco J. & Van Robays, Ine, 2011.
"Do financial investors destabilize the oil price?,"
Working Paper Series
1346, European Central Bank.
- M. J. Lombardi & I. Van Robays, 2011. "Do Financial Investors Destabilize the Oil Price?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/760, Ghent University, Faculty of Economics and Business Administration.
- Heino Bohn Nielsen, 2004. "Cointegration analysis in the presence of outliers," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 249-271, 06.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
When requesting a correction, please mention this item's handle: RePEc:eee:wdevel:v:44:y:2013:i:c:p:31-43. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.