A Comparative Study On Asymmetric Effects Of Oil Price Shocks On Economies In US, China And Japan

Since the first oil crisis break out in the 1970's, Western experts have studied the problem of oil price shocks on economic activities.The most initiative research on this program was done by Hamilton in 1983.Applying econometric testing,He concluded that the part reason of previous American economy recession was attributed to the raise of oil price.But Western experts had gradually transferred their emphases on the asymmetric effects of oil price shocks on economic activities in recent year.This paper firstly applies Logistic Smooth Transition Vector Autoregression model which was introduced by Charlesl.Weise(1999)to investigate whether the asymmetric effects of oil price shocks on economy of US ,China and Japan is exist or not.The three counties are the most leading economies in the world,which have different developing pattern,natural resource.Secondly,after confirming the existence of asymmetric effects,we estimate the threshold parameters in the LSTVAR model.We obtain:US, China and Japan have different level of threshold value.China's economy has more endurance on oil price shocks than US's.And US's economy has more endurance on oil price shocks than Japan's.In recent three years,International oil price shocks was in range of the China's economic endurance,but partly went beyond the range of the US's economic endurance,absolutely went beyond the range of the Japan's.Finally we apply impulse response function to analysis the response of economic fluctuation of those three nations to oil price shocks individually.And then we hold some corresponding conclusions and revelations:Firstly, the most effective measure to keep economy away from oil price shocks is the variety of energy sources and reducing economy dependence on oil.Secondly, although many energy consuming industries had transferred from developed country to developing country,The impact of oil price shocks on developed country economy,such as US and Japan, is more substantial than some developing country, such as China.Thirdly, US and Japan have not effectively resolved the problem of oil price shocks on economy, although they dominated abundant oil resource in oversea.Fourthly, The economy is easily affected by oil price shocks when the domestic oil price is consistent with international market price.Whereas,The effect of oil price shocks might be lessened.