The impact of Chinas monetary policy on commodity prices : 중국 통화정책이 상품가격에 미치는 영향
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- 사회과학대학 경제학부
- Issue Date
- 서울대학교 대학원
- 학위논문 (석사)-- 서울대학교 대학원 : 사회과학대학 경제학부, 2018. 8. 김소영.
- This paper illuminates the impact of China's monetary policy on the world commodity
prices from August 2005 to December 2016, the period after exchange rate reform. Using
Structural VAR model with Cholesky decomposition, we find that Chinas interest rate
affects the commodity price significantly. A positive interest rate shock will cause the
world commodity price to decrease, but the effect is modest. The influence of the interest
rate shock is different across different commodities. Metal prices fluctuate greatly than
prices of agriculture raw material, food and beverage when facing an interest rate shock. In
the robustness check, we find that Chinas monetary policy has an influence on world
commodity prices via the import channel. A positive interest rate shock makes Chinas
demand for the foreign good decrease so that it leads to a fall in world commodity prices.
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- College of Social Sciences (사회과학대학)Dept. of Economics (경제학부)Theses (Master's Degree_경제학부)
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