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Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD CountriesAnsgar Hubertus BelkeUniversity of Duisburg-Essen - Department of Economics; Institute for the Study of Labor (IZA) Ingo G. BordonUniversity of Duisburg-Essen Torben W. HendricksUniversity of Duisburg-Essen March 1, 2009 Ruhr Economic Paper No. 102 DIW Berlin Discussion Paper No. 898 Abstract: This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables while the process is mainly driven by global liquidity. According to our empirical findings, different price elasticities in commodity and consumer goods markets can explain the recently observed overshooting of commodity over consumer prices. Although the sample period is rather long, recursive tests corroborate that our CVAR fits the data very well.
Number of Pages in PDF File: 42 Keywords: Commodity prices, cointegration, CVAR analysis, global liquidity, inflation, international spillovers JEL Classification: E31, E52, C32, F42 working papers seriesDate posted: April 9, 2009 ; Last revised: September 1, 2009Suggested CitationContact Information
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