Journal
ENERGY
Volume 149, Issue -, Pages 424-437Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.energy.2018.02.035
Keywords
Time-varying effect; Oil supply shock; Oil demand shock; China'S macro-economy; TVP-SVAR-SV model
Categories
Funding
- National Natural Science Foundation of China [71701176]
- Social Science Foundation of Fujian Province [2017C075]
- China Postdoctoral Science Foundation [2017M612121]
- National Social Science Foundation of China [17AZD013, 15ZD058]
- Grant for Collaborative Innovation Center for Energy Economics and Energy Policy [1260-Z0210011]
- Xiamen University Flourish Plan Special Funding [1260-Y07200]
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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.
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