The Impact of Economic Policy Uncertainty in Chinese Nonferrous Metals Futures

Proceedings of The 4th International Conference on Research in Business, Management and Finance

Year: 2022

DOI:

[Fulltext]

The Impact of Economic Policy Uncertainty in Chinese Nonferrous Metals Futures

Yian Chen, Jianing Zhang

ABSTRACT: 

This article studies the impact of economic policy uncertainty in China and the United States on China’s non-ferrous metal futures prices. We use Chinese and American data from 2011 to 2020 for regression analysis. According to the control variable method, we take industrial value-added, China’s crude oil market prices, the exchange rate of USD to RMB, nonferrous metal inventory, and Chinese real interest rate as the control variables, and then take the economic policy uncertainty as the only variable to influence. According to the unit root test, we discovered that using the closing price as an indicator of futures price movements has randomness. Instead, we use the daily cumulative rise and fall of Chinese nonferrous metal futures to measure price influence. Other independent variables are transformed to the return data appropriate to them. Comparing two sets of data according to the regression method, our empirical results show that the increase of coefficients of economic policies uncertainty in China and the United States increase the price change of non-ferrous metal futures. And according to the Quadratic test, we found that the relationship between variables is indeed linear. And we make sure that our previous findings remain robust by adding control variables and changing response variables. In general, subsequent research and investment on non-ferrous metal futures need to consider the uncertainty of the economic policies of China and the United States to improve the prediction accuracy.

keywords: Economic policy uncertainty, nonferrous metals futures .