Professional macroeconomic forecasts and Chinese commodity futures prices

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

    Research output: Journal PublicationArticlepeer-review

    7 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)130-136
    Number of pages7
    JournalFinance Research Letters
    Volume28
    DOIs
    Publication statusPublished - Mar 2019

    Keywords

    • Commodity futures index
    • Nonlinear Granger causality
    • Professional macroeconomic forecasts

    ASJC Scopus subject areas

    • Finance

    Fingerprint

    Dive into the research topics of 'Professional macroeconomic forecasts and Chinese commodity futures prices'. Together they form a unique fingerprint.

    Cite this