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

被引：86

作者：

Gong, Xu ^{[1
,2
]}

Lin, Boqiang ^{[1
]}

机构：

[1] Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Collaborat Innovat Ctr Energy Econ & Energy Polic, Xiamen 361005, Peoples R China

[2] Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China

来源：

ENERGY | 2018年 / 149卷

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

Time-varying effect; Oil supply shock; Oil demand shock; China'S macro-economy; TVP-SVAR-SV model; PRICE SHOCKS; CRUDE-OIL; DISENTANGLING DEMAND; EMERGING ECONOMIES; EMPIRICAL-ANALYSIS; SIGN RESTRICTIONS; STRUCTURAL BREAKS; GLOBAL ECONOMY; STOCK-MARKET; VAR MODELS;

D O I：

10.1016/j.energy.2018.02.035

中图分类号：

O414.1 [热力学];

学科分类号：

摘要：

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. (C) 2018 Published by Elsevier Ltd.

引用

页码：424 / 437

页数：14

共 55 条

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