The relationship between oil price shocks and China's macro-economy: An empirical analysis
This paper investigates the relationship between the world oil price and China's macro-economy based on a monthly time series from 1995:1 to 2008:12, using the method of multivariate vector autoregression (VAR). The results show that the world oil price affects the economic growth and inflation of China significantly, and the impact is non-linear. On the other hand, China's economic activity fails to affect the world oil price, which means that the world oil price is still exogenous with respect to China's macro-economy in time series sense, and China has not yet had an oil pricing power in the world oil markets. The structural stability tests demonstrate that there is a structural break in the VAR model because of the reforms of China's oil pricing mechanism, thus it is more appropriate to break the whole sample into different sub-samples for the estimation of the model.
Year of publication: |
2010
|
---|---|
Authors: | Du, Limin ; Yanan, He ; Wei, Chu |
Published in: |
Energy Policy. - Elsevier, ISSN 0301-4215. - Vol. 38.2010, 8, p. 4142-4151
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Publisher: |
Elsevier |
Subject: | Oil price shocks Macro-economy China |
Saved in:
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