Regime switching in the relationship between the world oil market and China’s output

Crawford School of Public Policy | Centre for Applied Macroeconomic Analysis

Event details

Seminar

Date & time

Thursday 02 August 2018
4.00pm–5.00pm

Venue

Griffin Room, Level 1, JG Crawford Building 132, Lennox Crossing, ANU

Speaker

Bao Nguyen (ANU)

Contacts

Rossana Bastos Pinto
61 2 6125 8108

This paper investigates the dynamic relationship between China’s economic growth and international oil market. Extending Cross and Nguyen (2017), we explicitly disentangle demand shocks stemming from China and the rest of the world and conduct a comprehensive model comparison. The author finds evidence that the VAR model with constant coefficients but regime switches in co-variances governed by the Markov process is the best in-sample fit. The estimated results reveal that the impact of global oil market shocks on China’s output is pronounced and undergoes episodic changes. The author also finds that the China factor in the global oil market has been consistently increasing.

Bao Nguyen is a lecturer in Economics from the Development Policy Centre, Crawford School of Public Policy, Australian National University (ANU). Currently, he is a visiting lecturer at University of Papua New Guinea (UPNG) as part of the ANU-UPNG partnership. He is also a research associate at the Centre for Applied Macroeconomic Analysis (CAMA) at ANU.

The CAMA Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors to showcase their work.

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