An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices
This paper aims to identify the nexus between the excess of liquidity in the United States and commodity prices over the 1983-2006 period. In particular, it assesses whether commodity prices react more powerfully than consumer goods' prices to...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110118101618 http://hdl.handle.net/10986/3306 |
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okr-10986-33062021-04-23T14:02:08Z An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices Grigoli, Francesco AGRICULTURAL PRICES AGRICULTURE ARBITRAGE ASSET PRICES AUCTION AUTOREGRESSION COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY FUTURES COMMODITY FUTURES PRICES COMMODITY MARKET COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICES CONSUMER GOODS CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICES CONTINUOUS AUCTION CYCLICAL SWINGS DEVELOPING COUNTRIES DEVELOPMENT POLICY ECONOMETRIC ANALYSIS ECONOMIC ACTIVITY ECONOMIC OUTLOOK ENERGY PRICES EQUILIBRIUM EQUILIBRIUM VALUE EXCESS LIQUIDITY EXCHANGE RATE EXPANSIONARY MONETARY POLICY EXPANSIONARY POLICY FAIR FINANCIAL SYSTEM FOREIGN EXCHANGE FUTURES GDP GLOBAL ECONOMY GOVERNMENT BOND GROSS DOMESTIC PRODUCT INDUSTRIAL COMMODITIES INDUSTRIAL ECONOMIES INFLATION INFLATION EXPECTATIONS INFLATION RATE INFLATION TARGETING INFLATIONARY PRESSURES INSPECTION INTEREST RATE INTEREST RATES LIQUIDITY M2 MACROECONOMICS MONETARY AUTHORITY MONETARY POLICY MONEY GROWTH MONEY SUPPLY OPEN ACCESS OUTPUT PHONE POLITICAL ECONOMY POSITIVE EFFECTS PRICE ADJUSTMENT PRICE DYNAMICS PRICE ELASTICITY PRICE ELASTICITY OF SUPPLY PRICE INCREASE PRICE INCREASES PRICE INDEX PRICE INDEXES PRICE LEVEL PRICE MOVEMENTS PRICES INDEX PRIMARY COMMODITY REAL GDP RESULT RESULTS SPOT PRICE SPREAD SUBSTITUTES SUPPLY SHOCK SUPPLY SHOCKS TRANSACTION TRANSACTION COSTS TREASURY TREASURY BILL VOLATILITY WEB This paper aims to identify the nexus between the excess of liquidity in the United States and commodity prices over the 1983-2006 period. In particular, it assesses whether commodity prices react more powerfully than consumer goods' prices to changes in real money balances. Within a cointegrated vector autoregressive framework, the author investigates whether consumer prices and commodity prices react to excess liquidity, and if the different price elasticities of supply for goods and commodities allow for differences in the dynamic paths of price adjustment to a liquidity shock. The results show a positive relationship between real money and real commodity prices and provide empirical evidence for a stronger response of commodity prices with respect to consumer goods' prices. This could imply that, if the magnitude of the reaction is due the fact that consumer goods' prices are slower to react, then their long-run value can be predicted with the help of commodity prices. The findings support the view that the latter should be considered as a valid monetary indicator. 2012-03-19T17:59:56Z 2012-03-19T17:59:56Z 2011-01-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110118101618 http://hdl.handle.net/10986/3306 English Policy Research working paper ; no. WPS 5533 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
AGRICULTURAL PRICES AGRICULTURE ARBITRAGE ASSET PRICES AUCTION AUTOREGRESSION COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY FUTURES COMMODITY FUTURES PRICES COMMODITY MARKET COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICES CONSUMER GOODS CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICES CONTINUOUS AUCTION CYCLICAL SWINGS DEVELOPING COUNTRIES DEVELOPMENT POLICY ECONOMETRIC ANALYSIS ECONOMIC ACTIVITY ECONOMIC OUTLOOK ENERGY PRICES EQUILIBRIUM EQUILIBRIUM VALUE EXCESS LIQUIDITY EXCHANGE RATE EXPANSIONARY MONETARY POLICY EXPANSIONARY POLICY FAIR FINANCIAL SYSTEM FOREIGN EXCHANGE FUTURES GDP GLOBAL ECONOMY GOVERNMENT BOND GROSS DOMESTIC PRODUCT INDUSTRIAL COMMODITIES INDUSTRIAL ECONOMIES INFLATION INFLATION EXPECTATIONS INFLATION RATE INFLATION TARGETING INFLATIONARY PRESSURES INSPECTION INTEREST RATE INTEREST RATES LIQUIDITY M2 MACROECONOMICS MONETARY AUTHORITY MONETARY POLICY MONEY GROWTH MONEY SUPPLY OPEN ACCESS OUTPUT PHONE POLITICAL ECONOMY POSITIVE EFFECTS PRICE ADJUSTMENT PRICE DYNAMICS PRICE ELASTICITY PRICE ELASTICITY OF SUPPLY PRICE INCREASE PRICE INCREASES PRICE INDEX PRICE INDEXES PRICE LEVEL PRICE MOVEMENTS PRICES INDEX PRIMARY COMMODITY REAL GDP RESULT RESULTS SPOT PRICE SPREAD SUBSTITUTES SUPPLY SHOCK SUPPLY SHOCKS TRANSACTION TRANSACTION COSTS TREASURY TREASURY BILL VOLATILITY WEB |
| spellingShingle |
AGRICULTURAL PRICES AGRICULTURE ARBITRAGE ASSET PRICES AUCTION AUTOREGRESSION COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY FUTURES COMMODITY FUTURES PRICES COMMODITY MARKET COMMODITY MARKETS COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICES CONSUMER GOODS CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICES CONTINUOUS AUCTION CYCLICAL SWINGS DEVELOPING COUNTRIES DEVELOPMENT POLICY ECONOMETRIC ANALYSIS ECONOMIC ACTIVITY ECONOMIC OUTLOOK ENERGY PRICES EQUILIBRIUM EQUILIBRIUM VALUE EXCESS LIQUIDITY EXCHANGE RATE EXPANSIONARY MONETARY POLICY EXPANSIONARY POLICY FAIR FINANCIAL SYSTEM FOREIGN EXCHANGE FUTURES GDP GLOBAL ECONOMY GOVERNMENT BOND GROSS DOMESTIC PRODUCT INDUSTRIAL COMMODITIES INDUSTRIAL ECONOMIES INFLATION INFLATION EXPECTATIONS INFLATION RATE INFLATION TARGETING INFLATIONARY PRESSURES INSPECTION INTEREST RATE INTEREST RATES LIQUIDITY M2 MACROECONOMICS MONETARY AUTHORITY MONETARY POLICY MONEY GROWTH MONEY SUPPLY OPEN ACCESS OUTPUT PHONE POLITICAL ECONOMY POSITIVE EFFECTS PRICE ADJUSTMENT PRICE DYNAMICS PRICE ELASTICITY PRICE ELASTICITY OF SUPPLY PRICE INCREASE PRICE INCREASES PRICE INDEX PRICE INDEXES PRICE LEVEL PRICE MOVEMENTS PRICES INDEX PRIMARY COMMODITY REAL GDP RESULT RESULTS SPOT PRICE SPREAD SUBSTITUTES SUPPLY SHOCK SUPPLY SHOCKS TRANSACTION TRANSACTION COSTS TREASURY TREASURY BILL VOLATILITY WEB Grigoli, Francesco An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5533 |
| description |
This paper aims to identify the nexus
between the excess of liquidity in the United States and
commodity prices over the 1983-2006 period. In particular,
it assesses whether commodity prices react more powerfully
than consumer goods' prices to changes in real money
balances. Within a cointegrated vector autoregressive
framework, the author investigates whether consumer prices
and commodity prices react to excess liquidity, and if the
different price elasticities of supply for goods and
commodities allow for differences in the dynamic paths of
price adjustment to a liquidity shock. The results show a
positive relationship between real money and real commodity
prices and provide empirical evidence for a stronger
response of commodity prices with respect to consumer
goods' prices. This could imply that, if the magnitude
of the reaction is due the fact that consumer goods'
prices are slower to react, then their long-run value can be
predicted with the help of commodity prices. The findings
support the view that the latter should be considered as a
valid monetary indicator. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Grigoli, Francesco |
| author_facet |
Grigoli, Francesco |
| author_sort |
Grigoli, Francesco |
| title |
An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| title_short |
An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| title_full |
An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| title_fullStr |
An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| title_full_unstemmed |
An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices |
| title_sort |
empirical investigation of the nexus among money balances, commodity prices and consumer goods’ prices |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110118101618 http://hdl.handle.net/10986/3306 |
| _version_ |
1764386766494629888 |