Nonlinear impact of economic policy uncertainty shocks on credit scale: Evidence from China
Juan Meng and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 521, issue C, 626-634
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.
Keywords: Economic policy uncertainty; Credit scale; Smooth transition vector autoregressions (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:521:y:2019:i:c:p:626-634
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