 Global oil prices, macroeconomic fundamentals and China's commodity sector comovementsPeng Chen Energy Policy, 2015, vol. 87, issue C, 284-294 Abstract: This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indicate that the common factor accounts for a significant portion of the fluctuations of China's commodity sectors, providing evidence of the strong commodity sector comovements in China. We further use a VAR model to link the common movements across China's commodity sectors to the underlying determinants, including global oil price shocks and domestic macroeconomic fluctuations. We find that the global oil price shocks have strong effects on the common movements across commodity sectors in China in addition to its domestic macroeconomic fluctuations at long horizons. However, at short horizons, the common movements across commodity sectors in China respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations. Keywords: Commodity sectors; Comovements; Common factor; Oil price; Macroeconomic fundamentals (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:87:y:2015:i:c:p:284-294 DOI: 10.1016/j.enpol.2015.09.024 Access Statistics for this article Energy Policy is currently edited by N. France More articles in Energy Policy from Elsevier |
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