The Impact of Oil Price Shocks on Economic Policy Uncertainty of China: Evidence from Nonlinear Analysis

摘要

In this paper, we aim to explore the impact of global crude oil price on the economic policy uncertainty (EPU) of China with methods of the hybrid wavelet artificial neural network model (WANN) and the threshold vector auto-regression model (TVAR). The results show that in China the significant negative effect exists under the medium oil price change regime in the short run, while it turns to be positive under the higher fluctuation regime. Moreover, In the long run, the significant effect occurs under the medium fluctuation regime and shows an inverted U shape.