Professional macroeconomic forecasts and Chinese commodity futures prices

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

doi:10.1016/j.frl.2018.04.011

Professional macroeconomic forecasts and Chinese commodity futures prices

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

Department of Finance, Accounting and Economics

Research output: Journal Publication › Article › peer-review

11 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 language	English
Pages (from-to)	130-136
Number of pages	7
Journal	Finance Research Letters
Volume	28
DOIs	https://doi.org/10.1016/j.frl.2018.04.011
Publication status	Published - Mar 2019

Keywords

Commodity futures index
Nonlinear Granger causality
Professional macroeconomic forecasts

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2018.04.011

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title = "Professional macroeconomic forecasts and Chinese commodity futures prices",

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.",

keywords = "Commodity futures index, Nonlinear Granger causality, Professional macroeconomic forecasts",

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AU - Ye, Wuyi

AU - Guo, Ranran

AU - Jiang, Ying

AU - Liu, Xiaoquan

AU - Deschamps, Bruno

PY - 2019/3

Y1 - 2019/3

N2 - 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.

AB - 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.

KW - Commodity futures index

KW - Nonlinear Granger causality

KW - Professional macroeconomic forecasts

UR - http://www.scopus.com/inward/record.url?scp=85046353597&partnerID=8YFLogxK

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VL - 28

SP - 130

EP - 136

JO - Finance Research Letters

JF - Finance Research Letters

ER -

Professional macroeconomic forecasts and Chinese commodity futures prices

Abstract

Keywords

ASJC Scopus subject areas

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