LAUSR

Abstract This paper investigates the effects of Chinese financial markets on commodity currency exchange rates (CCERs), employing an auto-regressive distributed lag model (ARDL) and an SVAR model. The results show that the Chinese stock market and the Chinese Yuan Non-Deliverable Forwards market (CNY NDF market) had a significant impact on CCERs before the Global Financial Crisis in 2008/09 and this effect has extended to more commodity currencies after the Crisis. Further evidence shows that the CNY NDF market had a greater effect on CCERs than the Chinese stock market did. Nevertheless, our results also show that the effect of the Chinese financial markets on CCERs is weaker than that of the US stock market and the USD FX market.