Professional macroeconomic forecasts and Chinese commodity futures prices

Ye, Wuyi; Guo, Ranran; Jiang, Ying; Liu, Xiaoquan; Deschamps, Bruno

doi:10.1016/j.frl.2018.04.011

Cited by 13 publications

(3 citation statements)

References 29 publications

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“…(Joets et al, 2017). In contrast to macroeconomic variables in China and commodity futures, Ye et al (2019) conclude that there is a substantial association between macroeconomic variables such as the consumer product index and commodity futures in China. The conclusion is that the exchange rate has an effect on the dependent variable commodities futures.…”

Section: Discussionmentioning

confidence: 89%

What Causes Future Gold Price Volatility in Indonesia?

Dewi

2022

FJSR

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The purpose of this study is to determine the factors that influence the future volatility of gold commodities in Indonesia. Methods of quantitative research as well as secondary data are utilized in this study. The years 2011 to 2018 are used in this study example. On the official website, there is a total of 32 data collected quarterly. SPSS version 24 is the software that is being utilized. The findings, the exchange rate is the only factor that has impact on future gold commodities. Other factors, including as the consumer price index and the stock market index, have no such impact. Research can be used to determine the reasons of price volatility from macroeconomic influences on future gold commodities

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Section: Discussionmentioning

confidence: 89%

What Causes Future Gold Price Volatility in Indonesia?

Dewi

2022

FJSR

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“…On the other hand, Apergis et al (2021) received impressive results using GC to test the connection between economic efficiency and commodity prices. Ye et al (2019) and Akvildirim et al (2022) arrived at the same conclusion, observing interactions between macroeconomic quantities in China and economic profitability on futures in troubled times, respectively. Ascorbebeitia et al (2022) suggest combining GC with the Kendall's tau correlation coefficient when observing Euro Stoxx Index.…”

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confidence: 78%

Geopolitical deadlock and phosphate shortfall behind the price hike? Evidence from Moroccan commodity markets

Vochozka,

Janek,

Širáňová

2023

Agric. Econ. - Czech

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Phosphate fertilisers rank among limited conventional production aids, requiring eco-unfriendly mining methods. On the other hand, wheat is an indispensable agricultural commodity essential in the food industry. For this reason, it is appropriate to monitor the potential bivariate relationship between these commodities and to follow their future development closely. The article aims to identify a correlation (Kendall's tau) and causal (Granger causality test) between the price of Moroccan phosphate and wheat, applying vector autoregression (VAR). The results show a medium-to-strong correlation between phosphate and wheat, while causal analysis suggests a reciprocal relationship. The final prediction indicates the price stability of Moroccan phosphate and a fall in wheat prices, showing steady trends of the Moroccan phosphate and wheat market affected by the alarming situation in Ukraine. The article's drawbacks are a narrow market specialisation, which ignores other agricultural commodities. Our findings contribute to national officeholders and professional public, private and non-profit agrarian organisations. Investors may benefit from exploring turbulent exogenous variables like a critical geopolitical deadlock in Ukraine. The main contribution highlights the fact that the conventional fertiliser and wheat market situation appears to be stable and free from elements of uncertainty.

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“…According to Ye et al (2018), the literature contains extensive evidence of close relationships between commodity prices and macroeconomic variables such as GDP growth, money supply, interest rates, exchange rates and inflation. This is because commodity futures contracts are inherently forward-looking and incorporate investors' expectations of future commodity returns, so they are expected to contain investors' expectations of the future macroeconomic environment, with demand for commodities largely driven.…”

Section: Theoretical Referencementioning

confidence: 99%

Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach

Tessmann¹,

Carrasco-Gutierrez²,

Lima³

2022

IJEF

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This work aims to understand the determinants of the prices of corn and soybean futures traded on the Brazilian Stock Exchange (B3) based on the influence of international commodity prices on domestic prices. Using a theoretical model developed by Mundlack and Larson (1993) that considers the one-price law hypothesis, we estimate the Autoregressive Distributed Lag (ARDL) bounds test for cointegration (Pesaran et al., 2001), who tested the existence of a long-term relationship between the variables, as well as short-term influences. The database comprises the period from February 2011 to December 2019 and corresponds to the prices of corn and soybean futures contracts traded on the Brazilian Stock Exchange; and corn, soybeans and oil traded on the Chicago Mercantile Exchange, in addition to incorporating in the analysis the Brazilian macroeconomic variables exchange rate, inflation and GDP. The main results showed a long-term relationship between domestic prices, the exchange rate, and international prices negotiated in the United States for both commodities. Soybean prices are mostly affected by international prices in comparison to corn prices. In the short term, we found that soybean prices are affected by trading prices of the same commodity in the United States.

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Professional macroeconomic forecasts and Chinese commodity futures prices

Cited by 13 publications

References 29 publications

What Causes Future Gold Price Volatility in Indonesia?

What Causes Future Gold Price Volatility in Indonesia?

Geopolitical deadlock and phosphate shortfall behind the price hike? Evidence from Moroccan commodity markets

Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach

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