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Effects of Global Liquidity on Commodity and Food Prices

  • Ansgar Belke
  • Ingo Bordon
  • Ulrich Volz

This paper 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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File URL: http://www.rome-net.org/RePEc/rmn/wpaper/rome-wp-2012-01.pdf
File Function: First version, 2012
Download Restriction: no

Paper provided by ROME Network in its series ROME Working Papers with number 201201.

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Length: 31 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:rmn:wpaper:2012101
Contact details of provider: Web page: http://www.rome-net.org

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