The impact of international commodity price shocks on macroeconomic fundamentals: Evidence from the US and China

Qian, Chenqi; Zhang, Tianding; Li, Jie

doi:10.1016/j.resourpol.2023.103904

Cited by 3 publications

(1 citation statement)

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“…Commodity market comovement is crucial for cross-market portfolio investment. China's commodity futures markets have seen a boom in transactions and trading value in recent years (Qian et al, 2023). According to the China Futures Association, China's commodity futures trading volume in 2021 was 7.514 billion contracts, with a turnover of 581.20 trillion yuan, an increase of 22.13% and 32.84%, respectively, compared to the previous year.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices

Zhang,

Zeng,

2023

Prague Economic Papers

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We examine the comovement between China's commodity futures and world crude oil prices based on their daily return series. Using a dynamic time-varying approach, we combine the generalized autoregressive score (GAS) model with the copula approach, allowing for asymmetry and tail dependence. Our results demonstrate a significant nonlinear causal impact of world crude oil prices on each of China's commodities. The comovement between China's commodity futures and crude oil prices is positive, with varying degrees of significance across different commodity types. Notably, non-ferrous metal and chemical commodity futures are more vulnerable to rising crude oil prices. From a dynamic perspective, we observe continued volatility in the comovement between China's commodity futures and world crude oil prices in recent years. Moreover, the time-varying dependence between the three non-ferrous metals and crude oil prices is higher than that of other commodities. These findings hold significant implications for global investors, risk managers and policymakers.

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Section: Introductionmentioning

confidence: 99%