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
- Chuang Liu (ORCID: https://orcid.org/0000-0002-4655-731X)
- Jun Wang
- Yixuan Cheng
Institutions
- Liaoning University (CN)
- People's Bank of China (CN)
- Liaoning Water Conservancy Society (CN)
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