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Whether the fluctuation of China’s financial markets have impact on global commodity prices?

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  • Liao, Jia
  • Qian, Qi
  • Xu, Xiangyun
Abstract
This study conducts a theoretical analysis about effects of China’s financial markets on the global commodity prices, and employs ARDL model and SVAR model to test it empirically. Results illustrated that: CNY NDF rate has exerted impact on some industrial metals before the Global Financial Crisis of 2008, while impact of China’s stock market on commodity prices is insignificant. We find the influence of China’s stock market and CNY NDF market significantly increased after the crisis, which means the fluctuations of China’s financial markets do influence the commodity prices. However, such effect is still weak comparing with US stock market and FX market.

Suggested Citation

  • Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
    • Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:1030-1040
    DOI: 10.1016/j.physa.2018.08.035
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