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dc.contributor.authorBelke, Ansgaren
dc.contributor.authorBordon, Ingo G.en
dc.contributor.authorHendricks, Torben W.en
dc.date.accessioned2009-06-15-
dc.date.accessioned2010-02-04T13:06:09Z-
dc.date.available2010-02-04T13:06:09Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/29757-
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
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x898en
dc.subject.jelE31en
dc.subject.jelE52en
dc.subject.jelC32en
dc.subject.jelF42en
dc.subject.ddc330en
dc.subject.keywordCommodity pricesen
dc.subject.keywordcointegrationen
dc.subject.keywordCVAR analysisen
dc.subject.keywordglobal liquidityen
dc.subject.keywordinflationen
dc.subject.keywordinternational spilloversen
dc.subject.stwRohstoffpreisen
dc.subject.stwPreisen
dc.subject.stwMarktliquiditäten
dc.subject.stwKointegrationen
dc.subject.stwPreiselastizitäten
dc.subject.stwVAR-Modellen
dc.subject.stwOECD-Staatenen
dc.titleGlobal liquidity and commodity prices: a cointegrated VAR approach for OECD countries-
dc.type|aWorking Paperen
dc.identifier.ppn601775864en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp898en

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