Effects of Global Liquidity on Commodity and Food Prices

29 Pages Posted: 1 Apr 2012

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

Ulrich Volz

University of London - School of Oriental and African Studies (SOAS) - Economics; Deutsches Institut für Entwicklungspolitik (DIE) - German Development Institute (DIE)

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2012

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.

Keywords: Commodity prices, food prices, global liquidity, cointegration, CVAR analysis

JEL Classification: E52, E58, C32

Suggested Citation

Belke, Ansgar Hubertus and Bordon, Ingo G. and Volz, Ulrich, Effects of Global Liquidity on Commodity and Food Prices (March 1, 2012). DIW Berlin Discussion Paper No. 1199. Available at SSRN: https://ssrn.com/abstract=2030858 or http://dx.doi.org/10.2139/ssrn.2030858

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/

Ulrich Volz

University of London - School of Oriental and African Studies (SOAS) - Economics

London, WC1E 7HU
United Kingdom

Deutsches Institut für Entwicklungspolitik (DIE) - German Development Institute (DIE) ( email )

Tulpenfeld 4
Bonn, 53113
Germany

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