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Time-varying effects of oil supply and demand shocks on China's macro-economy

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  • Gong, Xu
  • Lin, Boqiang

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.

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  • Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.
  • Handle: RePEc:eee:energy:v:149:y:2018:i:c:p:424-437
    DOI: 10.1016/j.energy.2018.02.035
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