Publication date: Available online 13 October 2019
Source: Finance Research Letters
Author(s): Tianding Zhang, Tianwen Du, Jie Li
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.