Global Liquidity and Commodity Prices
- Authors
- Kang, Hyunju; Yu, Bok-Keun; Yu, Jongmin
- Issue Date
- Feb-2016
- Publisher
- WILEY-BLACKWELL
- Citation
- REVIEW OF INTERNATIONAL ECONOMICS, v.24, no.1, pp.20 - 36
- Journal Title
- REVIEW OF INTERNATIONAL ECONOMICS
- Volume
- 24
- Number
- 1
- Start Page
- 20
- End Page
- 36
- URI
- https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/8167
- DOI
- 10.1111/roie.12204
- ISSN
- 0965-7576
- Abstract
- While monetary easing and increasing participation of financial institutions in commodity trading have enhanced the financialization of commodity markets, this paper investigates empirically whether the impact of global liquidity on commodity prices has grown since the crisis. For each commodity group, this paper uses a structural vector autoregression (SVAR) model to address the short-run relationship between global liquidity and commodity prices. The key finding is that the effect of global liquidity on commodity prices becomes more salient since the global financial crisis. This paper also suggests a price-based liquidity indicator has a greater explanatory power for the commodity price dynamics than monetary aggregates.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - School of Economics > Economics Major > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.