Effects of Global Liquidity on Commodity and Food Prices
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.
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.:
- 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 219-238, August.
- 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.
- Modena, Matteo, 2011. "Agricultural commodities and financial markets," MPRA Paper 36416, University Library of Munich, Germany, revised 30 Sep 2011.
- 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.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- David Hendry & Jurgen Doornik, 2000.
"Constructing Historical Euro-Zone Data,"
Economics Series Working Papers
4, University of Oxford, Department of Economics.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
- Tim Congdon, 2007. "Too Much Money Chasing Too Few Assets Spells Danger!," Economic Affairs, Wiley Blackwell, vol. 27(1), pages 86-86, 03.
- Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2009.
"Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries,"
Ruhr Economic Papers
102, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of 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.
- 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.
- 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.
- 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.
- Ciccarelli, Matteo & Mojon, Benoît, 2005.
Working Paper Series
0537, European Central Bank.
- Matteo Ciccarelli & Benoît Mojon, 2008. "Global inflation," Working Paper Series WP-08-05, Federal Reserve Bank of Chicago.
- Matteo Ciccarelli & Benoît Mojon, 2007. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy.
- Ciccarelli, Matteo & Mojon, Benoît, 2006. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy (IfW).
- Matteo Ciccarelli & Benoît Mojon, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile.
- Robert S. Pindyck & Julio J. Rotemberg, 1988.
"The Excess Co-Movement of Commodity Prices,"
NBER Working Papers
2671, National Bureau of Economic Research, Inc.
- 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 1551-1580, November.
- Trostle, Ronald, 2008. "Factors Contributing to Recent Increases in Food Commodity Prices (PowerPoint)," Seminars 43902, USDA Economists Group.
- 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 1053-1069, June.
- 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.
- 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.
- 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.
- 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.
- Adalid, Ramón & Detken, Carsten, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series 0732, European Central Bank.
- Akito Matsumoto, 2011. "Global Liquidity; Availability of Funds for Safe and Risky Assets," IMF Working Papers 11/136, International Monetary Fund.
- Heino Bohn Nielsen, 2004. "Cointegration analysis in the presence of outliers," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 249-271, 06.
- 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.
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
- Jeffrey C. Fuhrer & George R. 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.
When requesting a correction, please mention this item's handle: RePEc:rmn:wpaper:2012101. 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: (Albrecht F. Michler)
If references are entirely missing, you can add them using this form.