Assessing time-varying risk in China’s GDP growth

This paper employs a novel approach to model the conditional distribution of China’s GDP growth with time-varying location, scale, and shape parameters. By decomposing the parameters into permanent and transitory components and introducing a series of macroeconomic variables, this study examines the factors that influence the time-varying risks of China’s GDP growth. The findings suggest a significant difference between permanent and transitory changes in the Chinese economy and show that macroeconomic variables impact all three moments. Despite being occasionally susceptible to adverse downside risks, China’s economy exhibits strong resilience and rapid recovery. •Dynamically model China’s GDP growth through a skewed t-distribution.•Incorporating macroeconomic variables to analyze their effects on GDP growth.•Confirms the significant role of macroeconomic variables on GDP growth.•Provides a detailed examination of time-varying risks.•Demonstrating the utility of the model in forecasting and policy-making.