Belke, Ansgar; Bordon, Ingo; Volz, Ulrich:
Effects of Global Liquidity on Commodity and Food Prices
2012
In: DIW Diskussionspapiere = Discussion Papers / Deutsches Institut für Wirtschaftsforschung, Heft 1199, S. 1 - 26
Artikel/Aufsatz in Zeitschrift2012Wirtschaftswissenschaften
Fakultät für Wirtschaftswissenschaften » Fachgebiet Volkswirtschaftslehre » Makroökonomik
Titel:
Effects of Global Liquidity on Commodity and Food Prices
Autor(in):
Belke, AnsgarLSF; Bordon, Ingo; Volz, Ulrich
Erscheinungsjahr
2012
WWW URL

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.