Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61416
Authors: 
Belke, Ansgar
Bordon, Ingo G.
Volz, Ulrich
Year of Publication: 
2012
Series/Report no.: 
DIW Discussion Papers 1199
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.
Subjects: 
Commodity prices
food prices
global liquidity
cointegration
CVAR analysis
JEL: 
E52
E58
C32
Document Type: 
Working Paper

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