Effects of Global Liquidity on Commodity and Food Prices
Ansgar Hubertus Belke
University of Duisburg-Essen - Department of Economics; Institute for the Study of Labor (IZA)
Ingo G. Bordon
University of Duisburg-Essen
University of London - School of Oriental and African Studies (SOAS) - Economics; German Development Institute
March 1, 2012
DIW Berlin Discussion Paper No. 1199
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.
Number of Pages in PDF File: 29
Keywords: Commodity prices, food prices, global liquidity, cointegration, CVAR analysis
JEL Classification: E52, E58, C32working papers series
Date posted: April 1, 2012
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