EconPapers    
Economics at your fingertips  
 

Nonlinear impact of economic policy uncertainty shocks on credit scale: Evidence from China

Yonghong Jiang, Luli He, Juan Meng and He Nie

Physica A: Statistical Mechanics and its Applications, 2019, vol. 521, issue C, 626-634

Abstract: 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119301062
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:521:y:2019:i:c:p:626-634

DOI: 10.1016/j.physa.2019.01.100

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2021-01-16
Handle: RePEc:eee:phsmap:v:521:y:2019:i:c:p:626-634