Time-varying effects of oil supply and demand shocks on China's macro-economy
Energy, ISSN: 0360-5442, Vol: 149, Page: 424-437
2018
- 91Citations
- 47Captures
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Article Description
In this paper we determine oil supply shock, oil aggregate demand shock, and oil specific demand shock from global crude oil market using a SVAR model. We find that there are great differences in oil supply, oil aggregate demand, and oil specific demand shocks. Furthermore, we develop a TVP-SVAR-SV model based on monthly world crude oil production, global real economic activity index, real oil price, and China's real IAV (or CPI), and apply this model to analyze the time-varying effects of the above-named oil shocks on China's macro-economy. The empirical results show that the effects of oil supply, oil aggregate demand, and oil specific demand shocks on China's output and inflation are time-varying, and even change the direction of the effects over the period from 1995 to 2015.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S0360544218302639; http://dx.doi.org/10.1016/j.energy.2018.02.035; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85042215971&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S0360544218302639; https://api.elsevier.com/content/article/PII:S0360544218302639?httpAccept=text/xml; https://api.elsevier.com/content/article/PII:S0360544218302639?httpAccept=text/plain; https://dul.usage.elsevier.com/doi/; https://dx.doi.org/10.1016/j.energy.2018.02.035
Elsevier BV
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