Effects of Global Liquidity on Commodity and Food Prices

被引：64

作者：

Belke, Ansgar ^{[1
]}

Bordon, Ingo G. ^{[1
,2
]}

Volz, Ulrich ^{[2
,3
]}

机构：

[1] Univ Duisburg Essen, Essen, Germany

[2] German Dev Inst, Bonn, Germany

[3] Univ London, SOAS, London WC1E 7HU, England

来源：

WORLD DEVELOPMENT | 2013年 / 44卷

关键词：

commodity prices; food prices; global liquidity; cointegration; CVAR analysis; MONETARY-POLICY; MONEY; EXPECTATIONS;

D O I：

10.1016/j.worlddev.2012.12.009

中图分类号：

F0 [经济学]; F1 [世界各国经济概况、经济史、经济地理]; C [社会科学总论];

学科分类号：

0201 ; 020105 ; 03 ; 0303 ;

摘要：

This article 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. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：31 / 43

页数：13