Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China
This article analyses the transmission path of the international commodity futures market’s impact on the Chinese economy. We use the MIDAS model and daily data to predict China’s CPI in real time. Empirical analysis results show that (1) the influence of high-frequency explanatory variables on low-...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/7069193 |
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| _version_ | 1832548911805366272 |
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| author | Keyao Lin Chao Xun Fei Wang Angela Chi Chao Zhenyu Du |
| author_facet | Keyao Lin Chao Xun Fei Wang Angela Chi Chao Zhenyu Du |
| author_sort | Keyao Lin |
| collection | DOAJ |
| description | This article analyses the transmission path of the international commodity futures market’s impact on the Chinese economy. We use the MIDAS model and daily data to predict China’s CPI in real time. Empirical analysis results show that (1) the influence of high-frequency explanatory variables on low-frequency CPI is different. The optimal lag orders of domestic high-frequency variables are all around 23, which can be regarded as one month in practice, indicating that their CPI influence takes one month to show. (2) Both the univariate MIDAS model and the multivariate MIDAS combined prediction model have good performance in prediction accuracy. (3) The predicted results of the multivariate MIDAS combined prediction model for CPI in China’s normal months are relatively excellent. However, when exceptional circumstances occur, the prediction results will show a specific deviation, and the prediction accuracy will also be reduced. Finally, some feasible suggestions are put forward according to the research results. |
| format | Article |
| id | doaj-art-b5d8d16e1ef848c4867c51c24692ab5d |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-b5d8d16e1ef848c4867c51c24692ab5d2025-02-03T06:12:48ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/70691937069193Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in ChinaKeyao Lin0Chao Xun1Fei Wang2Angela Chi Chao3Zhenyu Du4State Grid Fujian Electric Power Company, Fu Zhou 350003, Fu Jian, ChinaState Grid Fujian Electric Power Company, Fu Zhou 350003, Fu Jian, ChinaNational Tax Institute of STA, Yangzhou 210023, Jiangsu, ChinaSchool of Economics and Management, Southeast University, Nanjing 211189, Jiangsu, ChinaSchool of Economics and Management, Southeast University, Nanjing 211189, Jiangsu, ChinaThis article analyses the transmission path of the international commodity futures market’s impact on the Chinese economy. We use the MIDAS model and daily data to predict China’s CPI in real time. Empirical analysis results show that (1) the influence of high-frequency explanatory variables on low-frequency CPI is different. The optimal lag orders of domestic high-frequency variables are all around 23, which can be regarded as one month in practice, indicating that their CPI influence takes one month to show. (2) Both the univariate MIDAS model and the multivariate MIDAS combined prediction model have good performance in prediction accuracy. (3) The predicted results of the multivariate MIDAS combined prediction model for CPI in China’s normal months are relatively excellent. However, when exceptional circumstances occur, the prediction results will show a specific deviation, and the prediction accuracy will also be reduced. Finally, some feasible suggestions are put forward according to the research results.http://dx.doi.org/10.1155/2021/7069193 |
| spellingShingle | Keyao Lin Chao Xun Fei Wang Angela Chi Chao Zhenyu Du Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China Complexity |
| title | Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China |
| title_full | Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China |
| title_fullStr | Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China |
| title_full_unstemmed | Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China |
| title_short | Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China |
| title_sort | research on the influence of volatility of international energy commodity futures market on cpi in china |
| url | http://dx.doi.org/10.1155/2021/7069193 |
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