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Effects of Global Liquidity on Commodity and Food Prices
16 references·9 citing·37 second hop
Effects of Global Liquidity on Commodity and Food Prices (2013)Effects of Global Liquidity on Commodity …Global Agricultural Supply and Demand: Factors Contributing to the Recent Increase in Food Commodity Prices (2026)Global Agricultural Supply an…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…How to Understand High Food Prices (2010)How to Understand High Food P…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Causes and Consequences of the Oil Shock of 2007–08 (2009)Causes and Consequences of th…Causes and Consequences of the Oil Shock of 2007-08 (2009)Causes and Consequences of th…Globalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation (2007)Globalisation and Inflation: …Recent House Price Developments: The Role of Fundamentals (2006)Recent House Price Developmen…Asset prices and central bank policy (2000)Asset prices and central bank…Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective (1995)Monetary, Credit and (Other) …The role of the constant and linear terms in cointegration analysis of nonstationary variables (1994)The role of the constant and …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Manias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis (2021)The time-varying effects of f…The effects of external shocks on the business cycle in China: A structural change perspective (2021)The effects of external shock…Turning over a golden leaf? Global liquidity and emerging market central banks’ demand for gold after the financial crisis (2018)Turning over a golden leaf? G…Financial Liquidity, Geopolitics, and Oil Prices (2017)Financial Liquidity, Geopolit…Does the accumulation of international reserves spur inflation? A reappraisal (2017)Does the accumulation of inte…What are metal prices like? Co-movement, price cycles and long-run trends (2015)What are metal prices like? C…Global oil prices, macroeconomic fundamentals and China's commodity sector comovements (2015)Global oil prices, macroecono…The Low-Interest-Rate Environment, Global Liquidity Spillovers and Challenges for Monetary Policy Ahead (2014)The Low-Interest-Rate Environ…Does global liquidity drive commodity prices? (2014)Does global liquidity drive c…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)The Economics of Exhaustible Resources (1931)Oil and the Macroeconomy since World War II (1983)Oil Price Uncertainty (2010)Oil prices, exchange rates and emerging stock markets (2011)Speculators, commodities and cross-market linkages (2013)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)From Financial Crash to Debt Crisis (2011)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Financialization, crisis and commodity correlation dynamics (2012)A Model of Financialization of Commodities (2016)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)
this work references cited by second hop

References

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  • 2007Globalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation526 cited
  • 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables445 cited
  • 1995Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective

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416 cited
  • 2006Recent House Price Developments: The Role of Fundamentals362 cited
  • Cited by

    • 2015What are metal prices like? Co-movement, price cycles and long-run trends94 cited
    • 2021The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis84 cited
    • 2017Financial Liquidity, Geopolitics, and Oil Prices82 cited
    • 2014Does global liquidity drive commodity prices?82 cited
    • 2015Global oil prices, macroeconomic fundamentals and China's commodity sector comovements61 cited
    • 2018Turning over a golden leaf? Global liquidity and emerging market central banks’ demand for gold after the financial crisis35 cited
    • 2014The Low-Interest-Rate Environment, Global Liquidity Spillovers and Challenges for Monetary Policy Ahead22 cited
    • 2017Does the accumulation of international reserves spur inflation? A reappraisal14 cited
    • 2021The effects of external shocks on the business cycle in China: A structural change perspective10 cited