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<p>This paper examines the structural shocks driving copper price fluctuations using a Structural Vector Autoregression (SVAR) model and monthly data from 1995 to 2023. The model identifies three types of shocks: copper supply shocks, aggregate demand shocks, and copper-specific demand shocks. The results show that copper-specific demand shocks are the dominant source of copper price variation. A time-varying Granger causality analysis further reveals that copper-specific demand shocks are closely related to China’s macroeconomic activity, particularly Granger-caused by investment growth, producer price inflation, and money supply.</p>

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Structural Shocks in the Global Copper Market: Evidence from an SVAR Model and China’s Macroeconomic Influence

  • 期刊论文

  • 发表日期：

    2025年6月25日

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  • Wei Dai

摘要

This paper examines the structural shocks driving copper price fluctuations using a Structural Vector Autoregression (SVAR) model and monthly data from 1995 to 2023. The model identifies three types of shocks: copper supply shocks, aggregate demand shocks, and copper-specific demand shocks. The results show that copper-specific demand shocks are the dominant source of copper price variation. A time-varying Granger causality analysis further reveals that copper-specific demand shocks are closely related to China’s macroeconomic activity, particularly Granger-caused by investment growth, producer price inflation, and money supply.