Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach

Ronald Ratti and Joaquin Vespignani

No 17096, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This paper investigates the influence of liquidity in the major developed and major developing economies on commodity prices. Unanticipated increases in the BRIC countries? liquidity is associated with significant and persistent increases in commodity prices that are much larger than the effect of unanticipated increases in G3 liquidity, and the difference increases over time. Over 1999-2012 BRIC liquidity is strongly linked with global energy prices and global real activity whereas G3 liquidity is not. The impact of BRIC liquidity on mineral and metal prices is twice as large as that of G3 liquidity. BRIC liquidity is significantly connected with global tightening while G3 liquidity is not. Granger casualty goes from liquidity to commodity prices. BRIC and G3 liquidity and commodity prices are cointegrated. BRIC and G3 liquidity and global output and global prices are cointegrated. We constructed a structural factor-augmented error correction (SFAVEC) model.

Keywords: Commodity Prices; BRIC countries; G3; Global liquidity; SFAVEC (search for similar items in EconPapers)
JEL-codes: E31 E32 E51 F01 G15 Q43 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-01-09, Revised 2013-01-09
New Economics Papers: this item is included in nep-cis and nep-mac
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Citations: View citations in EconPapers (1)

Published by the University of Tasmania. Discussion paper 2013-08

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http://eprints.utas.edu.au/17096/1/2013-08_Commodi ... Approach_(Final).pdf

Related works:
Journal Article: Commodity prices and BRIC and G3 liquidity: A SFAVEC approach (2015)
Working Paper: Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach (2014)
Working Paper: Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:17096

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