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

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the editors. 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. Terms of use: Documents inJEL Classification: E31, E52, C32, F42

The informational content of unconventional monetary policy on precious metal markets

“…Among others, Christiano, Eichenbaum, and Evans (), Mallick and Sousa (), Sousa (), and Jawadi, Sousa, and Traverso () provide empirical evidence supporting the view of a strong negative impact of monetary contractions on the aggregate commodity price index. This argument is also underlined by Belke, Bordon, and Hendricks (, ) and Belke, Orth, and Setzer (), according to which global liquidity and low interest rate regimes are valuable indicators of commodity price inflation. Lastrapes and Selgin () argue that the relationship between precious metal prices and monetary policy was weakened after the mid‐1990s; however, Hammoudeh, Nguyen, and Sousa () identify a positive impact of US monetary policy contraction on the aggregated commodity prices over the prefinancial crisis period, though their findings are commodity sector specific.…”

Global Determinants of the Gold Price: A Multivariate Cointegration Analysis

“…However, turning to the more general field of commodities and asset prices, there are a number of papers investigating the relationships between money, output, consumer prices, commodity prices, stocks, and housing prices by means of multivariate cointegration analysis (CVAR) for a number of countries, aggregating the respective time series to obtain “global” measures for the country sample (e.g., Giese and Tuxen, , Belke et al ., ,b and Belke et al ., ). The general conclusion is that global money growth has in many cases contributed to price increases in the respective variables.…”

“…() and Beyer and Juselius (), and applied, for instance, by Giese and Tuxen (), Belke et al . (,b, ) . Additionally, the real gold price (LBMA Gold Price) is included.…”

Macroeconomic Effects of Commodity Price Shocks in a Low‐income Economy: The Case of Tobacco in Malawi

“…In addition, Belke et al . (), Lunieski (), Bernanke et al . () argue that there is causation between commodity price shocks and monetary policy, while Frankel (), Cody and Mills () and Marquis and Cunningham () argue that commodity prices contain vital information that can help predict the future trajectory of monetary policies, following the overshooting model of Dornbusch ().…”