shock is even more distinctive, while the real asset price index does not show any
significant reaction to global liquidity.
Our second reference study is Sousa and Zaghini (2006). They also estimate a
SVAR model for the G5 with aggregated data. Moreover, they include a commodity
price index for their whole analysis and deviate from the standard Cholesky iden-
tification scheme in restricting the structural equations. The so-called price puzzle
is not solved by the commodity price index in this study, too. Sousa and Zaghini
also find a significant and long-lasting response of the price level to a global liq-
uidity shock. One caveat with respect to a sound interpretation of their findings
may be that their sample period for estimation ends already in 2001. It is by now
well-known that in the post-2001 period the relationship between money and prices
was less stable than before - a finding which might challenge the stability of their
results.
The paper which might be conceptually closest to ours is Greiber (2007). He
also uses standard VAR techniques for G5 data and estimates a benchmark spec-
ification which is augmented in the subsequent analysis with house prices, stock
and commodity prices. The response of the price level to a global liquidity impulse
is significantly in the expected direction and is also very persistent. This piece of
evidence might serve as an additional empirical corroboration of the inflationary
pressures exerted by global money in the long run. The results with respect to
the inclusion of the asset price variables are very similar to our own results. The
empirical realisations of the house price index display a significant appreciation in
the wake of loose monetary conditions, namely to money and interest rates. As
reverse causation is concerned, the linkage between house prices and liquidity works
as well, since a house price shock in the study by Greiber significantly contributes
to a rise in money holdings. Like in our analysis, there are no substantial effects
regarding stock prices, as measured through the MSCI World index, delivered by
Morgan Stanley, the commodity price index and the oil price.
A prominent role for housing prices among other specific kinds of asset prices in
the same context is also found at a global scale by Giese and Tuxen (2007). These
authors find significant cointegration relationships which indicate a positive impact