期刊文献+
共找到11篇文章
< 1 >
每页显示 20 50 100
Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?
1
作者 Shaobo Long Mengxue Zhang +1 位作者 Keaobo Li Shuyu Wu 《Financial Innovation》 2021年第1期1030-1050,共21页
With the rapid expansion of the RMB exchange rate’s floating range,the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase.This study uses both auto reg... With the rapid expansion of the RMB exchange rate’s floating range,the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase.This study uses both auto regressive distributed lag(ARDL)and nonlinear ARDL(NARDL)approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices.Our findings show that without considering the critical variable of global commodity prices,there is no cointegration relationship between the RMB exchange rate and China’s stock prices,and the coefficient of the RMB exchange rate is not statistically significant.However,when we introduce global commodity prices into the NARDL model,the result shows that the RMB exchange rate has a negative effect on China’s stock prices,that there indeed exists a long-run cointegration relationship among the RMB exchange rate,global commodity prices,and stock prices in the NARDL model,and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run.Specifically,China’s stock prices are more sensitive to increases than decreases in global commodity prices.Thus,increases in global commodity prices cause China’s stock prices to decline sharply.In contrast,the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices. 展开更多
关键词 RMB exchange rate Global commodity prices China’s stock prices Asymmetric effects
下载PDF
Hybridized Intelligent Neural Network Optimization Model for Forecasting Prices of Rubber in Malaysia
2
作者 Shehab Abdulhabib Alzaeemi Saratha Sathasivam +2 位作者 Majid Khan bin Majahar Ali K.G.Tay Muraly Velavan 《Computer Systems Science & Engineering》 SCIE EI 2023年第11期1471-1491,共21页
Rubber producers,consumers,traders,and those who are involved in the rubber industry face major risks of rubber price fluctuations.As a result,decision-makers are required to make an accurate estimation of the price o... Rubber producers,consumers,traders,and those who are involved in the rubber industry face major risks of rubber price fluctuations.As a result,decision-makers are required to make an accurate estimation of the price of rubber.This paper aims to propose hybrid intelligent models,which can be utilized to forecast the price of rubber in Malaysia by employing monthly Malaysia’s rubber pricing data,spanning from January 2016 to March 2021.The projected hybrid model consists of different algorithms with the symbolic Radial Basis Functions Neural Network k-Satisfiability Logic Mining(RBFNN-kSAT).These algorithms,including Grey Wolf Optimization Algorithm,Artificial Bee Colony Algorithm,and Particle Swarm Optimization Algorithm were utilized in the forecasting data analysis.Several factors,which affect the monthly price of rubber,such as rubber production,total exports of rubber,total imports of rubber,stocks of rubber,currency exchange rate,and crude oil prices were also considered in the analysis.To evaluate the results of the introduced model,a comparison has been conducted for each model to identify the most optimum model for forecasting the price of rubber.The findings showed that GWO with RBFNN-kSAT represents the most accurate and efficient model compared with ABC with RBFNNkSAT and PSO with RBFNN-kSAT in forecasting the price of rubber.The GWO with RBFNN-kSAT obtained the greatest average accuracy(92%),with a better correlation coefficient R=0.983871 than ABC with RBFNN-kSAT and PSO with RBFNN-kSAT.Furthermore,the empirical results of this study provided several directions for policymakers to make the right decision in terms of devising proper measures in the industry to address frequent price changes so that the Malaysian rubber industry maintains dominance in the international markets. 展开更多
关键词 Rubber prices in Malaysia grey wolf optimization algorithm radial basis functions neural network k-satisfiability commodity prices
下载PDF
Pass-through Effects of Global Commodity Prices on China's Inflation:An Empirical Investigation 被引量:8
3
作者 Ligang Liu Andrew Tsang 《China & World Economy》 SCIE 2008年第6期22-34,共13页
The present paper uses a two-step approach to estimate the pass-through effects of changes in international commodity prices and the RMB exchange rate on domestic consumer price inflation in China. We first estimate t... The present paper uses a two-step approach to estimate the pass-through effects of changes in international commodity prices and the RMB exchange rate on domestic consumer price inflation in China. We first estimate the pass-through effects of international commodity prices on producer prices and then estimate the pass-through effects of producer price inflation on consumer price inflation. We find that a l O-percent increase in international commodity prices would lead to China' s producer prices increasing by 1.2 percent 3 months later, which in turn would increase China' s domestic inflation by 0.24 percent over the same period. However, a 10-percent appreciation of the RMB exchange rate against the US dollar would help to reduce increases in producer prices by 4.4 percent over the following 3 months, which in turn would lead to a 0. 89-percent decline in consumer price inflation over the same period. Our findings suggest that appreciation of the RMB in an environment of rising global commodity prices and a weak US dollar could be an effective instrument to help contain inflation in China. 展开更多
关键词 China commodity price exchange rate PASS-THROUGH
原文传递
Hot Money Flows, Cycles in Primary Commodity Prices, and Financial Control in Developing Countries 被引量:1
4
作者 Ronald McKinnon 《Frontiers of Economics in China-Selected Publications from Chinese Universities》 2015年第2期201-223,共23页
Because the U.S. Federal Reserve's monetary policy is at the center of the world dollar standard, it has a first-order impact on global financial stability. However, except during international crises, the Fed focuse... Because the U.S. Federal Reserve's monetary policy is at the center of the world dollar standard, it has a first-order impact on global financial stability. However, except during international crises, the Fed focuses on domestic American economic indicators and generally ignores collateral damage from its monetary policies on the rest of the world. Currently, ultra-low interest rates on short-term dollar assets ignite waves of hot money into Emerging Markets (EM) with convertible currencies. When each EM central bank intervenes to prevent its individual currency from appreciating, collectively they lose monetary control, inflate, and cause an upsurge in primary commodity prices internationally. These bubbles burst when some accident at the center, such as a banking crisis, causes a return of the hot money to the United States (and to other industrial countries) as commercial banks stop lending to foreign exchange speculators. World prices of primary products then collapse. African countries with exchange controls and less convertible currencies are not so attractive to currency speculators. Thus, they are less vulnerable than EM to the ebb and flow of hot money. However, Afi-ican countries are more vulnerable to cycles in primary commodity prices because food is a greater proportion of their consumption, and--being less industrialized--they are of their commodity exports. Supply-side more vulnerable to fluctuations in prices shocks, such as a crop failure anywhere in the world, can affect the price of an individual commodity. But joint fluctuations in the prices of all primary products--minerals, energy, cereals, and so on--reflect monetary conditions in the world economy as determined by the ebb and flow of hot money from the United States, and increasingly from other industrial countries with near-zero interest rates. 展开更多
关键词 dollar standard exchange rates hot money flows emerging markets commodity price cycles
原文传递
A Bayesian Nonparametric Investigation of the Predictive Effect of Exchange Rates on Commodity Prices
5
作者 Xin Jin 《Frontiers of Economics in China-Selected Publications from Chinese Universities》 2020年第2期179-210,共32页
This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries:Canada,Australia,and New Zealan... This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries:Canada,Australia,and New Zealand.We propose a new time-dependent infinite mixture of a normal linear regression model of the conditional distribution of the commodity price index.The mixing weights follow a set of Probit stick-breaking priors that are time-varying.We find that exchange rates have a positive predictive effect in general,but accounting for time variation does not improve forecasting performance.By contrast,the intercept in the regression and the lagged dependent variable show signs of parameter change over time in most cases,which is important in forecasting both the mean and the density of commodity prices one period ahead.The results also suggest that the variance is a large source of the time variation in the conditional distribution of commodity prices. 展开更多
关键词 Bayesian nonparametrics Dirichlet process mixture stick-breaking process Markov China Monte Carlo(MCMC) predictive likelihood foreign exchange rate commodity price
原文传递
Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach
6
作者 Shamaila Butt Suresh Ramakrishnan +1 位作者 Nanthakumar Loganathan Muhammad Ali Chohan 《Financial Innovation》 2020年第1期392-410,共19页
This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from... This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from January 1994 to December 2017.The relationship between exchange rate and each commodity price is examined in terms of Engle-Granger and threshold cointegrations.The estimated results provide evidence of long-run threshold cointegration and show that the adjustments towards the long-run equilibrium position are asymmetric in the short run.Furthermore,this study finds evidence of a unidirectional causal relationship running from the nominal exchange rate to oil price in the long and short run using a spectral frequency domain causality application.There is also empirical evidence of bidirectional causality between the nominal exchange rate and palm oil price,rubber price,and natural gas price in the long and short run.Overall,the findings have significant implications for the current debate on the future of primary commodities in Malaysia. 展开更多
关键词 commodity prices Exchange rate Threshold cointegration
下载PDF
Evaluation of the impact of commodity price change on mine plan of underground mining 被引量:2
7
作者 Salama Abubakary Nehring Micah Greberg Jenny 《International Journal of Mining Science and Technology》 CSCD 2015年第3期375-382,共8页
Fluctuations in commodity prices should influence mining operations to continually update and adjust their mine plans in order to capture additional value under new market conditions. One of the adjustments is the cha... Fluctuations in commodity prices should influence mining operations to continually update and adjust their mine plans in order to capture additional value under new market conditions. One of the adjustments is the change in production sequencing. This paper seeks to present a method for quantifying the net present value(NPV) that may be directly attributed to the change in commodity prices. The evaluation is conducted across ten copper price scenarios. Discrete event simulation combined with mixed integer programming was used to attain a viable production strategy and to generate optimal mine plans. The analysis indicates that an increase in prices results in an increased in the NPV from$96.57M to $755.65M. In an environment where mining operations must be striving to gain as much value as possible from the rights to exploit a finite resource, it is not appropriate to keep operating under the same mine plan if commodity prices alter during the course of operations. 展开更多
关键词 Mine planning Underground mining commodity price Discrete event simulation Mixed integer programming
下载PDF
Co‑movement of commodity price indexes and energy price index:a wavelet coherence approach
8
作者 Dervis Kirikkaleli Hasan Gügö 《Financial Innovation》 2021年第1期323-340,共18页
This research sheds light on the causal link between commodity price indexes,i.e.,the Agricultural Raw Materials Price Index,Industry Input Price Index,Metal Price Index,and Energy Price Index,in the global market,usi... This research sheds light on the causal link between commodity price indexes,i.e.,the Agricultural Raw Materials Price Index,Industry Input Price Index,Metal Price Index,and Energy Price Index,in the global market,using wavelet coherence,Toda–Yamamoto causality,and gradual shift causality tests over the period 1992M1 to 2019M12.Findings from the wavelet power spectrum and partial wavelet coherence reveal that:(1)there was significant volatility in the Agricultural Raw Materials Price Index,Industry Input Price Index,Metal Price Index,and Energy Price Index between 2004 and 2014 at different frequencies;and(2)commodity price indexes significantly caused the energy price index at different time periods and frequencies.It is noteworthy that the outcomes of the Toda–Yamamoto causality and gradual-shift causality tests are in line with the results of wavelet coherence. 展开更多
关键词 Energy price commodity price Wavelet coherence CAUSALITY
下载PDF
Research on the Impact of Aging and New Generation in the Popula­tion Structure on China’s Real Estate Price Volatility
9
作者 Zhaocai Cui Zhixin Zhang Cheng Li 《Journal of Finance Research》 2022年第1期5-14,共10页
To clarify the internal mechanism of the influence of the aging population and the new generation on housing prices is helpful to scientifically analyze and predict the trend of housing prices and the aging population... To clarify the internal mechanism of the influence of the aging population and the new generation on housing prices is helpful to scientifically analyze and predict the trend of housing prices and the aging population and the new generation.This paper uses the intergenerational overlap model of the two periods as the theoretical basis,and uses the provincial panel data from 1998 to 2018 to study the impact of the elderly population and the new generation on the price fluctuations of commercial housing.The results of the study show that on the whole,both the aging population and the new generation have promoted the rise in commodity housing prices.However,the regional heterogeneity is significant.The aging population has the most significant impact on housing price increases in developed and general developed areas,and has no significant impact on housing price increases in other places.The new generation has a negative impact on housing prices in backward areas and a positive impact on housing prices in other areas.Looking further,using the ARIMA model to predict housing prices in the next 10 years,it is concluded that housing prices will show a slow upward trend in the next 10 years.Therefore,the government can ensure the stable development of the real estate market by revitalizing the second-hand housing market and implementing housing projects. 展开更多
关键词 commodity housing prices Aging population New generation ARIMA
下载PDF
Global Spillovers of China's Monetary Policy
10
作者 Wenni Lei Dongzhou Mei Mi Zhang 《China & World Economy》 2024年第3期1-30,共30页
Spillovers from China's monetary policy have become increasingly obvious with China's growing importance in the global economy and its close economic and trade ties with the world.This study establishes a prox... Spillovers from China's monetary policy have become increasingly obvious with China's growing importance in the global economy and its close economic and trade ties with the world.This study establishes a proxy structure vector autoregression model to investigate the magnitude and transmission channel of spillovers from China to global and regional economies,taking advantage of high-frequency changes in asset prices in the financial markets to identify monetary policy shocks.The analysis reveals that China's monetary policy can affect the global economy by influencing international trade and commodity prices but there is no evidence of China's monetary policy affecting global financial variables.Tightness in China's monetary policy can cause a decline in world output whereas expansion in monetary policy can support global trade and output.This study also finds that the response of emerging Asian economies to China's monetary policy shock was nearly twice that of developed economies,while the transmission path did not change.The results of this study are consistent with the stylized fact that China's monetary policy plays an important role in the global trade and commodity cycle,although it does not drive the global financial cycle. 展开更多
关键词 China's monetary policy commodity prices external instruments global trade SPILLOVERS
原文传递
Hot Money Flows,Commodity Price Cycles and Financial Repression in the USA and China:The Consequences of Near-zero US Interest Rates
11
作者 Ronald McKinnon 《China & World Economy》 SCIE 2013年第4期1-13,共13页
Under near-zero US interest rates, the international dollar standard malfunctions. Emerging markets with naturally higher interest rates are swamped with hot money inflows. Emerging market central banks intervene to p... Under near-zero US interest rates, the international dollar standard malfunctions. Emerging markets with naturally higher interest rates are swamped with hot money inflows. Emerging market central banks intervene to prevent their currencies from rising precipitately. They lose monetary control and domestic prices begin inflating. Primary commodity prices rise worldwide unless interrupted by an international banking crisis'. This cyclical inflation on the dollar's periphery only registers in the US core eonsumer price index with a long lag. The zero interest rate policy also fails to stimulate the US economy as domestic finaneial intermediation by banks and money market mutual funds is repressed. Because China is forced to keep its interest rates below market-clearing levels, it also suffers from finaneial repression, although in a form differing from that in the USA. 展开更多
关键词 commodity price financial repression hot money flows zero interest rate
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部