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Professional macroeconomic forecasts and Chinese commodity futures prices

Author

Listed:
  • Ye, Wuyi
  • Guo, Ranran
  • Jiang, Ying
  • Liu, Xiaoquan
  • Deschamps, Bruno

Abstract

The literature has seen a significant relation between prices of commodities and their futures and macroeconomic variables indicating the important role that commodities play in the real economy. We contribute to the literature by exploring the causal relation between Chinese commodity futures and forecasted Chinese and US macroeconomic variables. We show a significant nonlinear causality from Chinese commodity futures prices to professional forecasts of Chinese macroeconomic variables. Meanwhile, these commodity futures prices are Granger caused by professional forecasts of US macroeconomic variables. Our findings highlight the economic significance of professional macroeconomic forecasts in the Chinese commodity futures markets.

Suggested Citation

  • Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019. "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, vol. 28(C), pages 130-136.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:130-136
    DOI: 10.1016/j.frl.2018.04.011
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    References listed on IDEAS

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    Cited by:

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    3. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
    4. Marek Vochozka & Svatopluk Janek & Lenka Širáňová, 2023. "Geopolitical deadlock and phosphate shortfall behind the price hike? Evidence from Moroccan commodity markets," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(8), pages 301-308.
    5. Pradhan, Ashis Kumar & Mishra, Bibhuti Ranjan & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Macroeconomic factors and frequency domain causality between Gold and Silver returns in India," Resources Policy, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Commodity futures index; Nonlinear Granger causality; Professional macroeconomic forecasts;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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