The Asymmetric Effect Of International Crude Oil Price Shocks On The China Economy

A multivariate two-regime threshold vector autoregression model(TVAR)is estimated to investigate the impacts of international oil price change on China economic activity.Using monthly data of the China during the period from 1996 to 2016,the existence of an threshold effect based on Chi-square test and comprehensive asymmetric relationship from regime-dependent generalized impulse function and generalized forecast error variance decomposition suggests that relationship between oil price and China economic activity is nonlinear,both on the different regime and sign asymmetries;The results also indicate that response of China economic activity to oil price shock exist the period effect,and impulse response fluctuation range as well as lasting time of convergence during the subsample(sample after 08 financial crisis)become bigger and longer tha n status from the whole sample.Finally based on the results of empirical study,we find China's output level is positively correlated with the positive oil price shock,which distinguish from traditional economic theory,and put forward the corresponding policy recommendations...