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Title:Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries PDF Logo
Authors:Belke, Ansgar
Bordon, Ingo G.
Hendricks, Torben W.
Issue Date:2009
Series/Report no.:Discussion papers // German Institute for Economic Research 898
Abstract:This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR 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.
Subjects:Commodity prices
cointegration
CVAR analysis
global liquidity
inflation
international spillovers
JEL:E31
E52
C32
F42
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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