Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 898

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Monetary Policy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Policy Coordination and Transmission
• Subject: Commodity prices ; cointegration ; CVAR analysis ; global liquidity ; inflation ; international spillovers ; Rohstoffpreis ; Preis ; Marktliquidität ; Kointegration ; Preiselastizität ; VAR-Modell ; OECD-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Belke, Ansgar ; Bordon, Ingo G. ; Hendricks, Torben W.
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/29757
• Last update: 10.03.2025, 11:44 AM CET