Time-varying spillover effects between international commodity prices and China’s macroeconomy: a TVP-VAR-DY analysis

This paper investigates the static and dynamic spillover effects between international commodity prices and China’s macroeconomy applying the TVP-VAR-DY model. Our findings reveal that international commodity prices and macroeconomic climate coincident index serve as the primary spillover transmitters within the system. During the COVID-19 pandemic, international commodity prices switch from a net transmitter to a net receiver, whereas consumption and investment switch from net receivers to net transmitters. These findings highlight the interconnection between international commodity prices and China’s macroeconomy, which provide policy implications for authorities to mitigate risks of international commodity price fluctuations.

Authors

Institutions

Publication Details

Journal
Applied Economics Letters
Published
2026-08-20
DOI
https://doi.org/10.1080/13504851.2026.2719629
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Time-varying spillover effects between international commodity prices and China’s macroeconomy: a TVP-VAR-DY analysis

Chuang Liu, Jun Wang, Yixuan Cheng
Applied Economics Letters
Market Dynamics and Volatility
article

Time-varying spillover effects between international commodity prices and China’s macroeconomy: a TVP-VAR-DY analysis

Chuang Liu, Jun Wang, Yixuan Cheng
article en

Abstract

This paper investigates the static and dynamic spillover effects between international commodity prices and China’s macroeconomy applying the TVP-VAR-DY model. Our findings reveal that international commodity prices and macroeconomic climate coincident index serve as the primary spillover transmitters within the system. During the COVID-19 pandemic, international commodity prices switch from a net transmitter to a net receiver, whereas consumption and investment switch from net receivers to net transmitters. These findings highlight the interconnection between international commodity prices and China’s macroeconomy, which provide policy implications for authorities to mitigate risks of international commodity price fluctuations.

Applied Economics Letters
Liaoning University (CN), People's Bank of China (CN), Liaoning Water Conservancy Society (CN)
Openalex Percentile: Top 4%
Market Dynamics and Volatility
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.