Belke, Ansgar; Bordon, Ingo; Volz, Ulrich:

Effects of Global Liquidity on Commodity and Food Prices

In: DIW Diskussionspapiere = Discussion Papers / Deutsches Institut für Wirtschaftsforschung, (2012) ; Nr. 1199, S. 1-26
ISSN: 1433-0210
Zeitschriftenaufsatz / Fach: Wirtschaftswissenschaften
Fakultät für Wirtschaftswissenschaften » Fachgebiet Volkswirtschaftslehre » Makroökonomik
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.