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dc.contributor.authorCross, Jamie
dc.contributor.authorHou, Chenghan
dc.contributor.authorNguyen, Bao
dc.date.accessioned2022-08-09T10:56:22Z
dc.date.available2022-08-09T10:56:22Z
dc.date.created2021-03-24T14:11:44Z
dc.date.issued2021
dc.identifier.citationEnergy Economics. 2021, 95, 105-119.en_US
dc.identifier.issn0140-9883
dc.identifier.urihttps://hdl.handle.net/11250/3010781
dc.description.abstractWe investigate the relationship between China's macroeconomic performance and the world oil market over the past two decades. Unlike existing studies, we allow for possible regime changes by utilizing a class of Markov-switching vector autoregression (MS-VAR) models. The model identifies key regime changes in the structural shocks when the oil market experiences low and high volatility. We find that demand shocks from China and the rest of the world have a larger impact on the real price of crude oil during periods of high volatility. Supply shocks, in contrast, have a large effect on the price in the low volatility regime. A similar state-dependent phenomenon is observed for the impact of oil price shocks on China economic activity, however the size of these responses is relatively small. Thus, despite China being a major player in international oil markets, we conclude that oil market shocks tend to have little impact on China's real GDP growth.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectOil pricesen_US
dc.subjectChinaen_US
dc.subjectMarkov-switching VARsen_US
dc.subjectSign restrictionsen_US
dc.titleOn the China factor in the world oil market: A regime switching approachen_US
dc.title.alternativeOn the China factor in the world oil market: A regime switching approachen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionacceptedVersionen_US
dc.rights.holderElsevieren_US
dc.source.pagenumber105-119en_US
dc.source.volume95en_US
dc.source.journalEnergy Economicsen_US
dc.identifier.doi10.1016/j.eneco.2021.105119
dc.identifier.cristin1900678
cristin.ispublishedtrue
cristin.fulltextpostprint
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cristin.qualitycode1


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal