EconPapers    
Economics at your fingertips  
 

Commodity prices and BRIC and G3 liquidity: A SFAVEC approach

Ronald Ratti and Joaquin Vespignani

Journal of Banking & Finance, 2015, vol. 53, issue C, 18-33

Abstract: This paper investigates the influence of liquidity in the major developed and major developing economies on commodity prices. Liquidity is taken to be M2. A novel finding is that 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. 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 construct 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)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037842661400394X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach (2014) Downloads
Working Paper: Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach (2013) Downloads
Working Paper: Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:53:y:2015:i:c:p:18-33

DOI: 10.1016/j.jbankfin.2014.12.013

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-27
Handle: RePEc:eee:jbfina:v:53:y:2015:i:c:p:18-33