Oil price shocks, economic policy uncertainty and industrial economic growth in China

Jingyu Chen · Faqi Jin · Guangda Ouyang · Jian Ouyang · Fenghua Wen

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Market Dynamics and Volatility Monetary Policy and Economic Impact Global Energy Security and Policy

Abstract

This paper combines a Granger causality test and a VAR model to investigate the relationships among oil price shocks, global economic policy uncertainty (GEPU), and China's industrial economic growth. Based on monthly data from 2000 to 2017, we reveal that GEPU and world oil prices jointly Granger cause China's industrial economic growth; world oil prices have a positive effect on China's industrial economic growth, while GEPU has a negative effect. Further analyses investigate the asymmetry effect of oil prices and find that the negative component shows a more significant impact on China's industrial economic growth. The results are robust to different oil price and EPU proxies.

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1980Macroeconomics and Reality 2016Measuring Economic Policy Uncertainty*2008Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1983Oil and the Macroeconomy since World War II 2012Uncertainty about Government Policy and Stock Prices 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1999Oil price shocks and stock market activity

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