Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement*
Employing both classical vector autoregressive methodology and regression models utilizing shock factors constructed with the Hodrick–Prescott filtering method, this paper empirically studies the influence of monetary factors on the price of nonferrous metals and their expectation formation in the Chinese market. Monetary factors are found to significantly positively influence Chinese nonferrous metal prices, and further empirical research reveals that a structural change occurred near August 2006. There is an expectation formation mechanism of lagged futures prices on spot metal prices, and the risk originating primarily from international market is transmitted to Chinese markets.
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