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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.accessioned2010-02-24en_US
dc.date.accessioned2010-07-22T09:29:03Z-
dc.date.available2010-07-22T09:29:03Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/36740-
dc.description.abstractThis paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defined as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity prices and goods prices movements. The cointegrated VAR model fits with the data for the analysed period from the 1970s until 2008 very well. Our empirical results appear to be overall robust since they pass inter alia a series of recursive tests and are stable for varying compositions of the commodity indices. The empirical evidence is in line with theoretical considerations. The inclusion of commodity prices helps to identify a significant monetary transmission process from global liquidity to other macro variables such as goods prices. We find further support of the conjecture that monetary aggregates convey useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this clear empirical pattern it appears justified to argue that global liquidity merits attention in the same way as the worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main drivers of the current financial crisis, if not possibly more.en_US
dc.language.isoengen_US
dc.publisherDeutsches Institut für Wirtschaftsforschung (DIW) Berlinen_US
dc.relation.ispartofseriesDiscussion papers // German Institute for Economic Research 971en_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.stwGeldpolitiken_US
dc.subject.stwGesamtwirtschaftliche Liquiditäten_US
dc.subject.stwTransmissionsmechanismusen_US
dc.subject.stwRohstoffpreisen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwInflationen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwOECD-Staatenen_US
dc.titleMonetary policy, global liquidity and commodity price dynamicsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn619486546en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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