Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries

42 Pages Posted: 9 Apr 2009 Last revised: 1 Sep 2009

See all articles by Ansgar Hubertus Belke

Ansgar Hubertus Belke

University of Duisburg-Essen - Department of Economics and Business Administration; IZA Institute of Labor Economics; Centre for European Policy Studies

Ingo G. Bordon

University of Duisburg-Essen

Torben W. Hendricks

University of Duisburg-Essen

Date Written: March 1, 2009

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.

Keywords: Commodity prices, cointegration, CVAR analysis, global liquidity, inflation, international spillovers

JEL Classification: E31, E52, C32, F42

Suggested Citation

Belke, Ansgar Hubertus and Bordon, Ingo G. and Hendricks, Torben W., Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries (March 1, 2009). Ruhr Economic Paper No. 102; DIW Berlin Discussion Paper No. 898. Available at SSRN: https://ssrn.com/abstract=1375384 or http://dx.doi.org/10.2139/ssrn.1375384

Ansgar Hubertus Belke (Contact Author)

University of Duisburg-Essen - Department of Economics and Business Administration ( email )

Universitätsstr. 9
Essen, 45141
Germany

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Centre for European Policy Studies ( email )

1 Place du Congres, 1000
Brussels, 1000
Belgium

Ingo G. Bordon

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

HOME PAGE: http://www.makro.wiwi.uni-due.de/

Torben W. Hendricks

University of Duisburg-Essen ( email )

Department of Economics and Business Administratio
Universitätsstr. 12
Essen, DE 45117
Germany

HOME PAGE: http://www.makro.wiwi.uni-due.de/

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