Monetary policy,global liquidity and commodity price dynamics |
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| Affiliation: | 1. Department of Investment and Capital Markets, Institute of Finance, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland;2. Dubai Business School, University of Dubai, P.O. Box: 14143, Academic City, Dubai, United Arab Emirates;3. College of Business, Zayed University, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates |
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| Abstract: | This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. Aggregated data for major OECD countries are therefore analysed in a cointegrated VAR framework. Our empirical results for the period ranging from the 1970s to 2008 support the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defined as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity and goods prices movements. |
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| Keywords: | Commodity prices CVAR analysis Global liquidity Inflation International spillovers |
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