Oil prices and economic growth in China: A time-frequency analysis (early view)

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Thuy Tien Ho
Nguyen Mau Ba Dang
Ngo Thai Hung

Abstract

This study analyzes the inherent evolution dynamics of economic activity and global oil prices in China using the tools of wavelet and wavelet-based VAR-GARCH-BEKK model. Besides, the Wavelet-Granger causality test of Olayeni (2016) provides us further insights into the magnitude and direction of causal connectedness between oil prices and economic activity in China over time and across different frequencies simultaneously. We find that the spillover effects between China's economic activity and global oil prices are time-varying in different time and frequencies in terms of direction and strength. More accurately, the prices and volatility spillovers between them are significant in the short and medium run but eventually neutral toward the long run. The Wavelet-Granger causality provides us further insights into the lead-lag relationships between oil prices and China's economic activity from an economic perspective. The dynamic time-frequency association findings suggest crucial implications that might assist policymakers and other market participants in mitigating risk.

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How to Cite
Thuy Tien Ho, Nguyen Mau Ba Dang, & Ngo Thai Hung. (2023). Oil prices and economic growth in China: A time-frequency analysis (early view). Asian Academy of Management Journal. Retrieved from https://ejournal.usm.my/aamj/article/view/3803
Section
Early Views - January 2024