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The impact of China's macroeconomic determinants on commodity prices

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  • Zhang, Tianding
  • Du, Tianwen
  • Li, Jie

Abstract

This paper explores the relationship between China's macroeconomic determinants and domestic commodity prices. The dynamic factor model is used to extract the common trend of China's commodity prices. The structural Vector Auto-regression model is considered the structural relationships between the commodity prices common trend and the real economic, financial and fiscal variables. Based on the empirical analysis, we found that China's macroeconomic determinants have an impact on commodity prices in economic and statistical significance.

Suggested Citation

  • Zhang, Tianding & Du, Tianwen & Li, Jie, 2020. "The impact of China's macroeconomic determinants on commodity prices," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319307019
    DOI: 10.1016/j.frl.2019.101323
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity prices; Macroeconomic determinants; SVAR; China;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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