The impact of China's macroeconomic determinants on commodity prices

Tianding Zhang, Tianwen Du and Jie Li

Finance Research Letters, 2020, vol. 36, issue C

Abstract: This paper explores the relationship between China's macroeconomic determinants and domestic commodity prices. The dynamic factor model is used to extract the common trend of China's commodity prices. The structural Vector Auto-regression model is considered the structural relationships between the commodity prices common trend and the real economic, financial and fiscal variables. Based on the empirical analysis, we found that China's macroeconomic determinants have an impact on commodity prices in economic and statistical significance.

Keywords: Commodity prices; Macroeconomic determinants; SVAR; China (search for similar items in EconPapers)
JEL-codes: E30 G10 Q02 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319307019
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319307019

DOI: 10.1016/j.frl.2019.101323

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().