Brown Bag Seminar: "Global money supply and commodity prices: A TV-MS-VAR approach"

Speaker
Giorgio Vocalelli - Universirty of Verona

Date
Dec 13, 2022 - Time: 12:00 Aula Vaona

Abstract: This paper studies the relationship between global money supply and commodity prices in a Markov Switching framework with time-varying transition probabilities. From 1996-2020, global liquidity growth swung between three regimes: low, moderate, and excessive money growth. We find that global industrial production and consumer prices index drive the probabilities of switching between regimes. The key finding of this paper is that the impact of global money supply on commodity prices is twice larger for energy commodities than for non-energy commodities. This has important policy implications for energy exporters and importer countries. As the global money supply increases (for example, in response to a global slowdown, e.g., the Covid-19 pandemic), oil producers' economies profit from higher prices. In comparison, oil importers pay higher import prices.

Data pubblicazione
Dec 7, 2022

Contact person
Maurizio Malpede
Department
Economics