Professional macroeconomic forecasts and Chinese commodity futures prices
Xiaoquan Liu and
Finance Research Letters, 2019, vol. 28, issue C, 130-136
The literature has seen a significant relation between prices of commodities and their futures and macroeconomic variables indicating the important role that commodities play in the real economy. We contribute to the literature by exploring the causal relation between Chinese commodity futures and forecasted Chinese and US macroeconomic variables. We show a significant nonlinear causality from Chinese commodity futures prices to professional forecasts of Chinese macroeconomic variables. Meanwhile, these commodity futures prices are Granger caused by professional forecasts of US macroeconomic variables. Our findings highlight the economic significance of professional macroeconomic forecasts in the Chinese commodity futures markets.
Keywords: Commodity futures index; Nonlinear Granger causality; Professional macroeconomic forecasts (search for similar items in EconPapers)
JEL-codes: G13 E3 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:130-136
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().