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Effects of Global Liquidity on Commodity and Food Prices

Ansgar Belke (), Ingo Bordon and Ulrich Volz

No 201201, ROME Working Papers from ROME Network

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)
Date: 2012
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http://www.rome-net.org/RePEc/rmn/wpaper/rome-wp-2012-01.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: Effects of Global Liquidity on Commodity and Food Prices (2013) Downloads
Working Paper: Effects of Global Liquidity on Commodity and Food Prices (2012) Downloads
Working Paper: Effects of Global Liquidity on Commodity and Food Prices (2012) Downloads
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