Effects of Global Liquidity on Commodity and Food Prices

Ansgar Belke (), Ingo G. Bordon and Ulrich Volz

No 1199, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

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 (search for similar items in EconPapers)
JEL-codes: E52 E58 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-mac
Date: 2012
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Working Paper: Effects of Global Liquidity on Commodity and Food Prices (2012)
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Persistent link: http://EconPapers.repec.org/RePEc:diw:diwwpp:dp1199

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