Title: Time-varying effects of oil supply and demand shocks on China's macro-economy
Abstract: 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.
Publication Year: 2018
Publication Date: 2018-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 92
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