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Effects of Global Liquidity on Commodity and Food PricesAnsgar Hubertus BelkeUniversity of Duisburg-Essen - Department of Economics; Institute for the Study of Labor (IZA) Ingo G. BordonUniversity of Duisburg-Essen Ulrich VolzUniversity of London - School of Oriental and African Studies (SOAS) - Economics; German Development Institute March 1, 2012 DIW Berlin Discussion Paper No. 1199 Abstract: 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, C32 working papers seriesDate posted: April 1, 2012Suggested CitationContact Information
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