我校新葡萄8883官网amg程胜老师在T1级别期刊——《Resources Policy》上发表题为“How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries”。论文作者程胜为新葡萄8883官网amg教授，博士生导师。

Abstract / 摘要：

In this paper, we explore the effect of global crude oil price on the economic policy uncertainty (EPU) in BRICS countries. For this purpose, we have adopted the hybrid wavelet artificial neural network model (wavelet-ANN) and the threshold vector auto-regression model (TVAR) to decompose the global crude oil price series into different market participants' horizons and to examine its comprehensive and detailed impact on different underlying oil price change regimes. The empirical results are as follows: Firstly, we find that oil price has heterogeneous effects on EPU in different BRICS countries. In contrast, the EPU of oil importers among BRICS countries (China and India) significantly negatively affect global oil price in the long run. Secondly, in each country, the influence of oil price on EPU shows a nonlinear and asymmetric feature. For China, a significant effect exists in the high-fluctuation regime in the short run. Moreover, the significant negative response of Brazil's EPU to oil prices also occurred in the high-fluctuation regime. Regarding Russia, the significant negative effect occurs in the low-fluctuation regime. Similar results can also be found in India. In the long run, only in India, the fluctuation of global crude oil price has a significant positive impact on India's EPU.

论文信息;

Title/题目:

How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries

Authors/作者:

Wang Yilei;Cheng Sheng;Cao Yan

Key Words / 关键词 ：

Global crude oil price;Economic policy uncertainty;Nonlinearity

DOI: 10.1016/J.RESOURPOL.2022.103025

全文链接：https://www.sciencedirect.com/science/article/pii/S0301420722004688?via%3Dihub