IDEAS home Printed from https://ideas.repec.org/p/ris/adbewp/0493.html
   My bibliography  Save this paper

The Impact of a People’s Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks

Author

Listed:
  • Ghoshray, Atanu

    (Newcastle University Business School, Newcastle-upon-Tyne)

  • Pundit, Madhavi

    (Asian Development Bank)

Abstract

The recent slowdown of the People’s Republic of China (PRC) has led to question to what extent the PRC demand of commodities can have an impact on commodity prices. We take into account the fact that commodity prices are characterized by structural breaks, and to this end we make use of novel econometric procedures incorporating the Flexible Fourier Form when testing for causal relations between the PRC slowdown and commodity prices. We find varying degrees of response of the PRC slowdown on different commodity prices. Further, this study determines whether the economic growth in selected developing and emerging Asian countries that are heavily dependent on commodities respond in an asymmetric manner to positive commodity price shocks as opposed to negative price shocks. Adopting a structural dynamic regression and censoring positive and negative shocks, we find limited evidence of any asymmetric response of economic activity to positive and negative commodity price shocks.

Suggested Citation

  • Ghoshray, Atanu & Pundit, Madhavi, 2016. "The Impact of a People’s Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks," ADB Economics Working Paper Series 493, Asian Development Bank.
    • Handle: RePEc:ris:adbewp:0493
    as

    Download full text from publisher

    File URL: https://www.adb.org/sites/default/files/publication/189343/ewp-493.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ludovic Gauvin & Cyril C. Rebillard, 2018. "Towards recoupling? Assessing the global impact of a Chinese hard landing through trade and commodity price channels," The World Economy, Wiley Blackwell, vol. 41(12), pages 3379-3415, December.
    2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    3. Zanias, George P., 2005. "Testing for trends in the terms of trade between primary commodities and manufactured goods," Journal of Development Economics, Elsevier, vol. 78(1), pages 49-59, October.
    4. Dabin Wang & William G. Tomek, 2007. "Commodity Prices and Unit Root Tests," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(4), pages 873-889.
    5. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
    6. Paulo M. M. Rodrigues & A. M. Robert Taylor, 2012. "The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 736-759, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jeannine Bailliu & Doga Bilgin & Kun Mo & Kurt Niquidet & Benjamin Sawatzky, 2019. "Global Commodity Markets and Rebalancing in China: The Case of Copper," Discussion Papers 2019-3, Bank of Canada.
    2. Xu Bing & Moritz Roth & Daniel Santabárbara, 2019. "Global impact of a slowdown in China," Economic Bulletin, Banco de España, issue DEC.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Joseph V. Balagtas & Matthew T. Holt, 2009. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(1), pages 87-105.
    2. Asian Development Bank Institute, 2017. "Structural Change and Moderating Growth in the People’s Republic of China: Implications for Developing Asia and Beyond," Working Papers id:11724, eSocialSciences.
    3. Ghoshray Atanu & Kejriwal Mohitosh & Wohar Mark, 2014. "Breaks, trends and unit roots in commodity prices: a robust investigation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 23-40, February.
    4. Winkelried, Diego, 2021. "Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set," Journal of Commodity Markets, Elsevier, vol. 23(C).
    5. Trofimov, Ivan D., 2018. "The secular decline in profit rates: time series analysis of a classical hypothesis," MPRA Paper 88248, University Library of Munich, Germany.
    6. Su, Jen-Je & Nguyen, Jeremy K., 2013. "Alternative unit root testing strategies using the Fourier approximation," Economics Letters, Elsevier, vol. 121(1), pages 8-11.
    7. Tsong, Ching-Chuan & Wu, Chien-Wei & Chiu, Hsien-Hung & Lee, Cheng-Feng, 2013. "Covariate unit root tests under structural change and asymmetric STAR dynamics," Economic Modelling, Elsevier, vol. 33(C), pages 101-112.
    8. Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020. "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, vol. 88(C).
    9. André Varella Mollick & João Ricardo Faria & Pedro H. Albuquerque & Miguel A. León-Ledesma, 2008. "Can globalisation stop the decline in commodities' terms of trade?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 32(5), pages 683-701, September.
    10. Nazlioglu, Saban & Gormus, N. Alper & Soytas, Uğur, 2016. "Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis," Energy Economics, Elsevier, vol. 60(C), pages 168-175.
    11. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
    12. Tolga Omay & Muhammad Shahbaz & Chris Stewart, 2021. "Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 875-901, November.
    13. Tolga Omay & Rangan Gupta & Giovanni Bonaccolto, 2017. "The US real GNP is trend-stationary after all," Applied Economics Letters, Taylor & Francis Journals, vol. 24(8), pages 510-514, May.
    14. Yifei Cai & Tolga Omay, 2022. "Using Double Frequency in Fourier Dickey–Fuller Unit Root Test," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 445-470, February.
    15. Geronimi, Vincent & Taranco, Armand, 2018. "Revisiting the Prebisch-Singer hypothesis of a secular decline in the terms of trade of primary commodities (1900–2016). A dynamic regime approach," Resources Policy, Elsevier, vol. 59(C), pages 329-339.
    16. Aliyu Alhaji Jibrilla, 2016. "Fiscal sustainability in the presence of structural breaks: Does overconfidence on resource exports hurt government’s ability to finance debt? Evidence from Nigeria," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170317-117, December.
    17. Durusu-Ciftci, Dilek & Ispir, M. Serdar & Kok, Dundar, 2019. "Do stock markets follow a random walk? New evidence for an old question," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 165-175.
    18. Gormus, Alper & Nazlioglu, Saban & Soytas, Ugur, 2018. "High-yield bond and energy markets," Energy Economics, Elsevier, vol. 69(C), pages 101-110.
    19. Dieu Nsenga & Mirada Nach & Hlalefang Khobai & Clement Moyo & Andrew Phiri, 2018. "Is it the natural rate or hysteresis hypothesis for unemployment in Newly Industrialized Economies?," Working Papers 1817, Department of Economics, Nelson Mandela University, revised Apr 2018.
    20. Natalya Apopo & Andrew Phiri, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," Working Papers 1904, Department of Economics, Nelson Mandela University, revised Jun 2019.

    More about this item

    Keywords

    commodity prices; economic growth; Flexible Fourier Form; impulse response analysis; PRC slowdown;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:adbewp:0493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Orlee Velarde (email available below). General contact details of provider: https://edirc.repec.org/data/eradbph.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.