Monetary policy, global liquidity and commodity price dynamics

Ansgar Belke, Ingo G. Bordon and Torben W. Hendricks

The North American Journal of Economics and Finance, 2014, vol. 28, issue C, 1-16

Abstract: This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. Aggregated data for major OECD countries are therefore analysed in a cointegrated VAR framework. Our empirical results for the period ranging from the 1970s to 2008 support the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defined as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity and goods prices movements.

Keywords: Commodity prices; CVAR analysis; Global liquidity; Inflation; International spillovers (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 F42 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Monetary Policy, Global Liquidity and Commodity Price Dynamics (2010)
Working Paper: Monetary Policy, Global Liquidity and Commodity Price Dynamics (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:28:y:2014:i:c:p:1-16

DOI: 10.1016/j.najef.2013.12.003

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