程胜、江奇胜（学） How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach

我校经济管理学院程胜老师在T1级别期刊——《Resources Policy》上发表题为“How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach”。论文第一作者程胜为经济管理学院教授，博士生导师。

Abstract /摘要：

In the beginning of 2020, significant economic recession and financial shocks directly caused by the oil price war and the outbreak of COVID-19 epidemic appear, making the connection between oil price and policy uncertainty a significant topic, especially for China, the largest emerging market and second largest oil consumer. With the monthly data of WTI oil price, China's fiscal policy uncertainty (FPU) index and monetary policy uncertainty (MPU) index from January 2000 to August 2020, this paper detailedly investigates how China's FPU and MPU respond to global oil price volatility in different oil price volatility regimes and time scales. The empirical results expose that: (1) China's FPU and MPU volatility would positively respond to WTI volatility in the low oil price volatility regime, while in the high oil price volatility regime, the FPU response is insignificant and MPU response is only significant and negative in the scale 3–4 (8–16 and 16–32 months); (2) Only in the middle-long term of low oil price volatility regime will the WTI volatility significantly respond to China's FPU and MPU volatility; and (3) The FPU and MPU volatility responses are more violent in high oil price volatility

论文信息;

Title/题目:

How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach

Authors/作者:

Jiang Qisheng;Cheng Sheng

Key Words /关键词：

Fiscal policy uncertainty;Monetary policy uncertainty;Global oil price;Volatility response;Regime;Time scale

Indexed by /核心评价：

SSCI;EI; WAJCI; INSPEC; Scopus;

Highlights /研究要点

•The FPU and MPU responses of China to global oil price volatility in different regimes and time scales are investigated.;

• The volatility responses of China’s FPU and MPU to global oil price have opposite trend in two oil price volatility regimes.;

• The global oil price volatility will conversely respond to China’s FPU and MPU volatilities in the longer term.

DOI：10.1016/J.RESOURPOL.2021.102121

全文链接：https://linkinghub.elsevier.com/retrieve/pii/S0301420721001355