Chinese commodity price index predictive factors
Chinese commodity price indexes can be predicted based on several indicators from the previous months. Indexes that can be determined include China's Basic Commodity Price Index, China's Energy Price Index, and China's Steel Price Index. The predictors include:
1. Raw coal production from the previous month,
2. Copper cathode from the previous month,
3. Financial Institutions: RMB: Total from the previous month,
4. Production: Copper material from the previous month, and
5. Production: Crude Oil (current) from the previous month. Using monthly data from Wind from 2007 to the present, we find that these variables explain on average 75% of the variation in commodity price indexes.
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