China's Impacton World Commodity Markets
Shocks to aggregate activity in China have a significant and persistent short-run impact on the price of oil and some base metals. In contrast, shocks to apparent commodity-specific consumption (in part reflecting inventory demand) have no effect on commodity prices. China’s impact on world commodity markets is rising but, perhaps surprisingly, remains smaller than that of the United States. This is mainly due to the dynamics of real activity growth shocks in the U.S, which tend to be more persistent and have larger effects on the rest of the world.
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activity growth rate activity in China aggregate activity shocks Aluminum Copper Lead apparent commodity consumption author’s calculations base metals block exogenous China’s impact China’s industrial production China’s role China’s Share Chma commodity intensity commodity price shocks commodity-specific demand shocks Copper Lead Nickel correlation Cumulative Impulse Responses dollar exchange rate dollar real effective interest rate Energy errors in parentheses Granger Causality growth rate shocks Helbling Impact on World including crude oil increase International Monetary Fund IP IP IP Kilian le\el response null hypothesis Oil Aluminum Copper percent percentage point shocks persistent precautionary demand price response rate of China’s real activity growth real commodity price Real Interest rate real price Recursive estimations recursive ordering reduced form reﬂect Row industrial sample period September 2011 shock in China short-run spillover Standard errors statistically significant supply and demand supply shocks Table U.S. dollar unit shock Variance decomposition vector autoregression World Commodity Markets Zinc