Torben W. Hendricks

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.

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.

Do banks’ buy and sell recommendations influence stock market volatility? Evidence from the German DAX30

We investigate the impact of good and bad news on stock market volatility. To this end, we utilize a novel data set of banks’ buy and sell recommendations for the German DAX30 stock market index and estimate an EGARCH(1,1) model which features these recommendations as well as several other pertinent explanatory variables in the mean and variance equations. We find that in a rising market, buy recommendations lower the level of volatility and sell recommendations raise volatility, whereas the impact of news on stock market volatility is less clear-cut in a falling market.

Genehmigungspflichten für Staatsfonds: Neuer deutscher Etatismus?

Anfang November 2007 legte das Bundeswirtschaftsministerium einen Gesetzentwurf zur Novellierung des Außenwirtschaftsgesetzes vor, der darauf abzielt, ausländische Beteiligungen an deutschen Unternehmen zu überprüfen. Wie sind solche Maßnahmen gegen ausländische Staatsfonds zu bewerten? Welche Rolle spielt China auf dem internationalen Kapitalmarkt?