The recent slowdown of the People's Republic of China (PRC) has led to question to what extent the PRC demand of commodities can have an impact on commodity prices. We take into account the fact that commodity prices are characterized by structural breaks, and to this end we make use of novel...

This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...

In this paper, we re-investigate the effects of oil price and its uncertainty on China's macroeconomic activities using a monthly generalized VAR model with stochastic volatility in mean, named interactive VAR-SV-in-mean model, which allows for interactions amongst variables' levels and...