EconPapers    
Economics at your fingertips  
 

Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries

Ansgar Belke, Ingo Bordon and Torben Hendricks

Applied Financial Economics, 2010, vol. 20, issue 3, 227-242

Abstract: This article examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major Organization for Economic Cooperation and Development (OECD) countries and a Cointegrating Vector Autoregression (CVAR) framework, we are able to establish long-run and short-run relationships among these variables while the process is mainly driven by global liquidity. According to our empirical findings, different price elasticities in commodity and consumer goods markets can explain the recently observed overshooting of commodity over consumer prices. Although the sample period is rather long, recursive tests corroborate that our CVAR fits the data very well.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100903282713 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Global Liquidity and Commodity Prices: A Cointegrated VAR Approach for OECD Countries (2009) Downloads
Working Paper: Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries (2009) 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:taf:apfiec:v:20:y:2010:i:3:p:227-242

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100903282713

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-09-22
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:227-242