Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach

Ronald Ratti and Joaquin Vespignani

MPRA Paper from University Library of Munich, Germany

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 F1 Q43 (search for similar items in EconPapers)
Date: 2013-08-24
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/49324/1/MPRA_paper_49324.pdf original version (application/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)
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:pra:mprapa:49324

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().