Monetary Policy, Global Liquidity and Commodity Price Dynamics

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports 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 prices and goods prices movements. The cointegrated VAR model fits with the data for the analysed period from the 1970s until 2008 very well. Our empirical results appear to be overall robust since they pass inter alia a series of recursive tests and are stable for varying compositions of the commodity indices. The empirical evidence is in line with theoretical considerations. The inclusion of commodity prices helps to identify a significant monetary transmission process from global liquidity to other macro variables such as goods prices. We find further support of the conjecture that monetary aggregates convey useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this clear empirical pattern it appears justified to argue that global liquidity merits attention in the same way as the worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main drivers of the current financial crisis, if not possibly more.Commodity prices, cointegration, CVAR analysis, global liquidity, inflation, international spillovers

Monetary Policy, Global Liquidity and Commodity Price Dynamics

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defi ned as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity prices and goods prices movements. The cointegrated VAR model fi ts with the data for the analysed period from the 1970s until 2008 very well. Our empirical results appear to be overall robust since they pass inter alia a series of recursive tests and are stable for varying compositions of the commodity indices. The empirical evidence is in line with theoretical considerations. The inclusion of commodity prices helps to identify a signifi cant monetary transmission process from global liquidity to other macro variables such as goods prices. We fi nd further support of the conjecture that monetary aggregates convey useful information about variables such as commodity prices which matter for aggregate demand and thus infl ation. Given this clear empirical pattern it appears justifi ed to argue that global liquidity merits attention in the same way as the worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main drivers of the current fi nancial crisis, if not possibly more.Commodity prices; cointegration; CVAR analysis; global liquidity; infl ation; international spillovers

Global Liquidity and Commodity Prices: A Cointegrated VAR Approach for OECD Countries

This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables while the process is mainly driven by global liquidity. According to our empirical findings, different price elasticities in commodity and consumer goods markets can explain the recently observed overshooting of commodity over consumer prices. Although the sample period is rather long, recursive tests corroborate that our CVAR fits the data very well.Commodity prices, cointegration, CVAR analysis, global liquidity, inflation, international spillovers

Global liquidity and commodity prices - A cointegrated VAR approach for OECD countries, in

Abstract This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables while the process is mainly driven by global liquidity. According to our empirical findings, different price elasticities in commodity and consumer goods markets can explain the recently observed overshooting of commodity over consumer prices. Although the sample period is rather long, recursive tests corroborate that our CVAR fits the data very well. JEL codes: E31, E52, C32, F4

The credit channel in U.S. economic history

This paper analyzes the effectiveness of the credit channel as a transmission mechanism of monetary policy in 20th century economic history by applying a Markov-switching model on the default premium of U.S. corporate bond portfolios. Beside the stance of monetary policy and the state of the business cycle, we identify a latent factor accounting for the strength of the credit channel. In particular, the credit channel appears to be active only in periods of financial distress, most notably during the Great Depression and the 1980s Savings and Loan debacle.Markov switching Monetary policy Credit channel Default premium

Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries

This article examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major Organization for Economic Cooperation and Development (OECD) countries and a Cointegrating Vector Autoregression (CVAR) framework, we are able to establish long-run and short-run relationships among these variables while the process is mainly driven by global liquidity. According to our empirical findings, different price elasticities in commodity and consumer goods markets can explain the recently observed overshooting of commodity over consumer prices. Although the sample period is rather long, recursive tests corroborate that our CVAR fits the data very well.

Protein-altering variants associated with body mass index implicate pathways that control energy intake and expenditure in obesity

Genome-wide association studies (GWAS) have identified >250 loci for body mass index (BMI), implicating pathways related to neuronal biology. Most GWAS loci represent clusters of common, noncoding variants from which pinpointing causal genes remains challenging. Here we combined data from 718,734 individuals to discover rare and low-frequency (minor allele frequency (MAF) < 5%) coding variants associated with BMI. We identified 14 coding variants in 13 genes, of which 8 variants were in genes (ZBTB7B, ACHE, RAPGEF3, RAB21, ZFHX3, ENTPD6, ZFR2 and ZNF169) newly implicated in human obesity, 2 variants were in genes (MC4R and KSR2) previously observed to be mutated in extreme obesity and 2 variants were in GIPR. The effect sizes of rare variants are ~10 times larger than those of common variants, with the largest effect observed in carriers of an MC4R mutation introducing a stop codon (p.Tyr35Ter, MAF = 0.01%), who weighed ~7 kg more than non-carriers. Pathway analyses based on the variants associated with BMI confirm enrichment of neuronal genes and provide new evidence for adipocyte and energy expenditure biology, widening the potential of genetically supported therapeutic targets in obesity