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The dynamic impact of international agricultural commodity price fluctuation on Chinese agricultural commodity prices

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  • Zhang, Xiaoyu
  • Liu, Yongfu

Abstract

The correlation between Chinese and international commodity prices may be nonlinear because of China’s minimum agricultural commodity purchase price policy and temporary storage policy. In order to research this nonlinear dynamic correlation mechanism, we construct a nonlinear Granger causality test model and a nonlinear autoregressive distribution lag model including Chinese and international agricultural commodity (soybean, corn, rice, and wheat) price variables. Our empirical results reveal that a unidirectional causal relation exists between international and Chinese prices for soybeans and corn; specifically, international prices of soybeans and corn Granger-cause Chinese prices of soybeans and corn. Moreover, the pass-through effects between Chinese and international commodity prices are asymmetric; Chinese agricultural commodity prices respond more strongly to positive shocks than negative shocks of international agricultural commodity prices.

Suggested Citation

  • Zhang, Xiaoyu & Liu, Yongfu, 2020. "The dynamic impact of international agricultural commodity price fluctuation on Chinese agricultural commodity prices," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 23(3), August.
    • Handle: RePEc:ags:ifaamr:307214
    DOI: 10.22004/ag.econ.307214
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    2. Qifeng Yang & Pingyu Zhang & Zuopeng Ma & Daqian Liu & Yongjia Guo, 2022. "Agricultural Economic Resilience in the Context of International Food Price Fluctuation—An Empirical Analysis on the Main Grain–Producing Areas in Northeast China," Sustainability, MDPI, vol. 14(21), pages 1-20, October.
    3. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    4. Xiaokang Hou & Shah Fahad & Peipei Zhao & Beibei Yan & Tianjun Liu, 2022. "The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration," Sustainability, MDPI, vol. 14(19), pages 1-16, October.

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