The impact of China's economic uncertainty on commodity and financial markets

Hong Yin, Long Chang and Shu Wang

Resources Policy, 2023, vol. 84, issue C

Abstract: This paper use the SV-TVP-FAVAR model to analyze dynamic impacts of economic uncertainty on commodity prices, stock prices and their linkages. Results show that the whole and segmented markets of commodities have seen a fluctuating increasing trend in the time dimension with positive spillover effects in different periods. Agricultural products experienced a significant negative impact before the pandemic, but a significant positive impact after. There is an increasing positive spillover effect of China's economic uncertainty on the financial markets, with a long-term nature. Price linkages have a distinct non-linear characteristic, with long-term negative spillover effects dominating before 2017 and long-term positive spillover effects dominating afterwards, especially during the outbreak.

Keywords: Economic uncertainty; Commodity markets; Financial markets; COVID-19; SV-TVP-FAVAR Model (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004907

DOI: 10.1016/j.resourpol.2023.103779

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