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dc.contributor.authorBelke, Ansgaren_US
dc.contributor.authorBordon, Ingo G.en_US
dc.contributor.authorHendricks, Torben W.en_US
dc.date.accessioned2009-04-20en_US
dc.date.accessioned2010-02-12T15:15:53Z-
dc.date.available2010-02-12T15:15:53Z-
dc.date.issued2009en_US
dc.identifier.isbn978-3-86788-113-5en_US
dc.identifier.urihttp://hdl.handle.net/10419/29925-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherRWI Essenen_US
dc.relation.ispartofseriesRuhr economic papers 102en_US
dc.subject.jelE31en_US
dc.subject.jelE52en_US
dc.subject.jelC32en_US
dc.subject.jelF42en_US
dc.subject.ddc330en_US
dc.subject.keywordCommodity pricesen_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordCVAR analysisen_US
dc.subject.keywordglobal liquidityen_US
dc.subject.keywordinflationen_US
dc.subject.keywordinternational spilloversen_US
dc.subject.stwRohstoffpreisen_US
dc.subject.stwPreisen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwKointegrationen_US
dc.subject.stwPreiselastizitäten_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwOECD-Staatenen_US
dc.titleGlobal liquidity and commodity prices: a cointegrated VAR approach for OECD countriesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn597837902en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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Ruhr Economic Papers, RWI

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