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China’s Monetary Policy and Commodity Prices

Author

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  • Shawkat Hammoudeh
  • Duc Khuong Nguyen
  • Ricardo M. Sousa

Abstract

This paper examines the effects of the monetary policy of China on commodity prices. Using a Bayesian Structural VAR, we identify shocks to the interest rate as a price rule and to the monetary aggregate (M2) as a quantity rule, and then evaluate their

Suggested Citation

  • Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "China’s Monetary Policy and Commodity Prices," Working Papers 2014-298, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-298
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    References listed on IDEAS

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    5. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
    6. repec:ipg:wpaper:2014-414 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-463 is not listed on IDEAS
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    9. Lyu, Yongjian & Yi, Heling & Cao, Jin & Yang, Mo, 2022. "Time-varying monetary policy shocks and the dynamics of Chinese commodity prices," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    10. repec:ipg:wpaper:2014-516 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-458 is not listed on IDEAS
    12. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
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    More about this item

    Keywords

    monetary policy; commodity prices; Bayesian Structural VAR; China;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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