Policy Uncertainty in China, Oil Shocks and Stock Returns
AbstractThis paper examines the interdependence of China’s policy uncertainty, the global oil market, and stock market returns in China. A structural VAR model is estimated that shows a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market returns. Shocks to oil market specific demand significantly raise China’s economic policy uncertainty and reduce the real stock market returns. As measured by a spillover index the interdependence between these variables is rising since 2003 as China’s influence in the oil market increases. An equivalent spillover index calculated for the U.S. is smaller and largely flat over time.
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Bibliographic InfoPaper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2014-32.
Length: 33 pages
Date of creation: Apr 2014
Date of revision:
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More information through EDIRC
China’s policy uncertainty; China’s stock market return; Oil shocks; Structural VAR;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- P40 - Economic Systems - - Other Economic Systems - - - General
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
- NEP-ENE-2014-05-04 (Energy Economics)
- NEP-MAC-2014-05-04 (Macroeconomics)
- NEP-TRA-2014-05-04 (Transition Economics)
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