Macroeconomic Effects of Energy Price Shocks in China

Date: 30 Jan 2017 – 11:00am-12:00pm – Add to calendar

Location: Lecture Theatre 2, EBL Building (W40)

Paper 1: The relationship between global oil price shocks and China’s output: A time-varying analysis

We employ a class of time-varying Bayesian vector autoregressive (VAR) model on new standard dataset of China’s GDP constructed by Chang et al. (2015) to examine the relationship between China’s economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. The results are generally robust to three commonly employed indicators of global economic activity: Kilian’s global real economic activity index, the metal price index and the global industrial production index, and two alternative oil price metrics: the US refiners’ acquisition cost for imported crude oil and the West Texas Intermediate price of crude oil.

Paper 2: Time-varying macroeconomic effects of energy price shocks in China

Whilst the use of oil prices as a proxy for more general energy price dynamics holds for Western economies; such as the US and the UK, in the case of China this assumption is shown to be erroneous. Having established this fact, we propose a new index of quarterly energy prices which accurately reflects global energy price dynamics along with the structure of China’s energy expenditure shares. The results are robust to various data sources and index compositions indicating the importance of allowing for time varying dynamics in the relationship between energy price shocks and Chinese macroeconomic variables.

Bao H. Nguyen is a PhD candidate at Crawford School of Public Policy, Australian National University (ANU), under supervision of Professor Warwick McKibbin, Professor Reneé McKibbin (ANU) and Dr. Nam Hoang (UNE). His main research is applied macroeconomics with a focus on the relationship between commodity price dynamics and macroeconomic performances of various economies (e.g. Australia and China).