Effects of Global Liquidity on Commodity and Food Prices
In: DIW Diskussionspapiere = Discussion Papers / Deutsches Institut für Wirtschaftsforschung (2012), No. 1199, pp. 1 - 26
2012article/chapter in journal
EconomicsFaculty of Business Administration and Economics » Economics » Macroeconomics
Title:
Effects of Global Liquidity on Commodity and Food Prices
Author:
Belke, AnsgarUDE
- GND
- 113316771
- LSF ID
- 47861
- ORCID
-
0000-0002-9743-4758
- Other
- connected with university
Year of publication:
2012
Appears in
DIW Diskussionspapiere = Discussion Papers / Deutsches Institut für Wirtschaftsforschung
in:
No. 1199, pp. 1 - 26
ISSN
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.