Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 521, Issue -, Pages 626-634Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2019.01.100
Keywords
Economic policy uncertainty; Credit scale; Smooth transition vector autoregressions
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Funding
- Guangzhou Social Sciences Co-construction Project of the 13th Five-Year Plan (Research on the Relationship between Economic Policy Uncertainty and Cyclical Banks' Credit Scale) [2018GZGJ18]
- Guangdong Social Sciences Project (Finance Research Project) of the 13th Five-Year Plan (Research on Systematic Financial Risk Measurement and Application in Guangdong Province) [GD18JRZ07]
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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.
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