A1094
Title: Multivariate nonlinear analysis of quarterly China's GDP and world oil price
Authors: Fredj Jawadi - University of Lille (France) [presenting]
Abstract: The relationship between quarterly China's GDP and world oil price over the recent decades is studied in order to investigate whether the growing Chinese economy has any significant influence on the world oil market and to measure to what extent oil shocks affect China's economy. To this end, we apply a multivariate threshold autoregressive model for the two time series and study the associated nonlinear impulse response functions. We also contrast the implications of nonlinear model with those of linear models. Our findings show certain strong nonlinear effects between China's GDP and the oil sector. In particular, our nonlinear VAR model points to the presence of nonlinear causality effects when the oil price was declining, suggesting further evidence of bilateral interactions.
