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

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  • Yin, Hong
  • Chang, Long
  • Wang, Shu

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.

Suggested Citation

  • Yin, Hong & Chang, Long & Wang, Shu, 2023. "The impact of China's economic uncertainty on commodity and financial markets," Resources Policy, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004907
    DOI: 10.1016/j.resourpol.2023.103779
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    Cited by:

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    2. Kaihua Wang, 2024. "Economic policy uncertainty and green finance: evidence from frequency and quantile aspects," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-26, February.

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