کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088789 | 1478327 | 2014 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does global liquidity drive commodity prices?
ترجمه فارسی عنوان
آیا نقدینگی جهانی باعث کاهش قیمت کالاها می شود؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper tackles the question of whether a cross-sectional perspective on monetary policy is capable of explaining movements in global commodity prices. In this vein, we contribute to the rich literature on global liquidity in two different ways: on the one hand, to achieve a global series in terms of common monetary policy shocks, we propose a distinction between common and idiosyncratic factors across economies, as proposed by Bai and Ng (2004). Our second innovation stems from the consideration of a Markov-switching vector error correction model when analyzing time-varying short-run dynamics. Having identified the long-run structure which includes a proportional relationship between commodity prices and global liquidity in the first step, our results indeed show that the impact of a global liquidity measure on different commodity prices is significant and varies over time. One regime approximately accounts for times where commodity prices significantly adjust to disequilibria, while the second regime is characterized by either a weak or no commodity price adjustment. The fact that global liquidity also reacts to disequilibria in a specific regime demonstrates the two-way causality between monetary policy and commodity prices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 48, November 2014, Pages 224-234
Journal: Journal of Banking & Finance - Volume 48, November 2014, Pages 224-234
نویسندگان
Joscha Beckmann, Ansgar Belke, Robert Czudaj,