Professional macroeconomic forecasts and Chinese commodity futures prices

Abstract The literature has seen a significant relation between prices of commodities and their futures and macroeconomic variables indicating the important role that commodities play in the real economy. We contribute to the literature by exploring the causal relation between Chinese commodity futures and forecasted Chinese and US macroeconomic variables. We show a significant nonlinear causality from Chinese commodity futures prices to professional forecasts of Chinese macroeconomic variables. Meanwhile, these commodity futures prices are Granger caused by professional forecasts of US macroeconomic variables. Our findings highlight the economic significance of professional macroeconomic forecasts in the Chinese commodity futures markets.