Nonlinear impact of economic policy uncertainty shocks on credit scale: Evidence from China

被引：20
|
作者：
Jiang, Yonghong [1 ,2 ,3 ]
He, Luli [1 ,2 ]
Meng, Juan [1 ,2 ]
Nie, He [1 ,2 ]
机构：
[1] Jinan Univ, Inst Finance, Guangzhou 510632, Guangdong, Peoples R China
[2] Jinan Univ, Coll Econ, Guangzhou 510632, Guangdong, Peoples R China
[3] Univ Wisconsin, Econ Dept, Eau Claire, WI 54701 USA
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 521卷
关键词：
Economic policy uncertainty; Credit scale; Smooth transition vector autoregressions; FRICTIONS; US;
D O I：
10.1016/j.physa.2019.01.100
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We explore the nonlinear effect of economic policy uncertainty shocks on the credit scale in China by applying a Smooth Transition VAR Model and the monthly data from April 1996 to April 2017. We find that the economic growth during the time of prosperity is more vulnerable to economic policy uncertainty shocks in China and the shocks bring the economic growth a significant decline. Furthermore, the negative response of economic policy uncertainty shocks to credit scale is larger in expansions than in recessions. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页码：626 / 634
页数：9
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