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| The Financialization of International Commodity Market and Chinese Macroeconomic Fluctuations |
| ZHANG Xiang, LIU Lu, LI Lunyi
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| School of Finance, Southwestern University of Finance and Economics |
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Abstract This paper uses SVAR model to quantify impact of the financialization of international commodity market on Chinese macroeconomic fluctuations during the period of 1998-2015. We find that the investment technology shock and the neutral technology shock are the main driving forces of our macroeconomic fluctuations; the effect coming from the international commodity price shock is weaker than the technology shocks, but is stronger than the monetary and fiscal policy shocks. Moreover, before the U.S. financial crisis in 2008, the financialization of commodity market mainly has dampening effects on Chinese macroeconomic fluctuations; after the financial crisis, the financialization of commodity market mainly has magnifying effects on macroeconomic fluctuations in China. Interestingly, the U.S. QE policy is the main reason for these magnifying effects.
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Received: 02 June 2016
Published: 18 January 2018
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