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題名 Global commodity prices, Economic Activity and Monetary Policy: The Relevance of China
作者 徐士勛
Klotz, Philipp ; Lin, Tsoyu Calvin ; Hsu, Shih-Hsun
貢獻者 經濟系
關鍵詞 Commodity price; China; Toda–Yamamoto; Generalized impulse response function; Overshooting
日期 2014.12
上傳時間 30-Sep-2014 13:57:00 (UTC+8)
摘要 After decades of strong economic growth, industrialization and rising living standards, China has become a dominant player in commodity markets. This study attempts to shed light on the role of China in global commodity price dynamics.The empirical analysis applies (Toda and Yamamoto, 1995, J Econom, 66, 225–250) type Granger causality tests and Generalized Impulse Response Functions (GIRF) to examine causal linkages and short-run dynamics between global commodity prices, economic activity, and monetary policy of China from 1998 to 2012.Our results provide evidence that economic activity is Granger causing both energy and industrial metals prices. As for the GIRF analysis, our findings suggest that energy and industrial metals prices respond positively to an increase in the economic activity and that agricultural as well as energy commodity prices overshoot after a drop in the real interest rate of China. We further find evidence that industrial metals prices tend to be higher when China׳s exchange rate system is relaxed.
關聯 Resources Policy, 42, 1-9
資料類型 article
DOI http://dx.doi.org/10.1016/j.resourpol.2014.08.001
dc.contributor 經濟系en_US
dc.creator (作者) 徐士勛zh_TW
dc.creator (作者) Klotz, Philipp ; Lin, Tsoyu Calvin ; Hsu, Shih-Hsunen_US
dc.date (日期) 2014.12en_US
dc.date.accessioned 30-Sep-2014 13:57:00 (UTC+8)-
dc.date.available 30-Sep-2014 13:57:00 (UTC+8)-
dc.date.issued (上傳時間) 30-Sep-2014 13:57:00 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70194-
dc.description.abstract (摘要) After decades of strong economic growth, industrialization and rising living standards, China has become a dominant player in commodity markets. This study attempts to shed light on the role of China in global commodity price dynamics.The empirical analysis applies (Toda and Yamamoto, 1995, J Econom, 66, 225–250) type Granger causality tests and Generalized Impulse Response Functions (GIRF) to examine causal linkages and short-run dynamics between global commodity prices, economic activity, and monetary policy of China from 1998 to 2012.Our results provide evidence that economic activity is Granger causing both energy and industrial metals prices. As for the GIRF analysis, our findings suggest that energy and industrial metals prices respond positively to an increase in the economic activity and that agricultural as well as energy commodity prices overshoot after a drop in the real interest rate of China. We further find evidence that industrial metals prices tend to be higher when China׳s exchange rate system is relaxed.en_US
dc.language.iso en_US-
dc.relation (關聯) Resources Policy, 42, 1-9en_US
dc.subject (關鍵詞) Commodity price; China; Toda–Yamamoto; Generalized impulse response function; Overshootingen_US
dc.title (題名) Global commodity prices, Economic Activity and Monetary Policy: The Relevance of Chinaen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.resourpol.2014.08.001en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.resourpol.2014.08.001en_US