Asymmetric effects of oil prices and exchange rates on China’s industrial prices
•We explore the impacts of oil prices and exchange rates on China’s industrial prices.•We use NARDL models to check stable long-run relationships and asymmetries.•Inconsistencies between practice and theory are found by NARDL and Quantile methods.•The estimates at specific quantiles show the active...
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Veröffentlicht in: | Energy economics 2019-10, Vol.84, p.104551, Article 104551 |
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creator | Zhu, Huiming Chen, Xiuyun |
description | •We explore the impacts of oil prices and exchange rates on China’s industrial prices.•We use NARDL models to check stable long-run relationships and asymmetries.•Inconsistencies between practice and theory are found by NARDL and Quantile methods.•The estimates at specific quantiles show the active roles of China’s policy reforms.
This paper explores the impacts of positive and negative changes in crude oil price and exchange rate variables on raw material procurement prices and product ex-factory prices of China’s industrial enterprises. We run the nonlinear autoregressive distributed lag (NARDL) model for the full sample from January 2000 to June 2019, and find the existence of the cointegrating relationships and the asymmetries of the long-run effects from positive and negative changes in oil price and exchange rate variables. Then, we run the OLS and quantile regressions for the two subsamples. Through the analysis of the estimates in different quantities in the latter model, we obtain rich and novel findings. The main findings include the inconsistency between the practice of oil price and exchange rate transmissions in China and the usual theoretical explanations, and the active roles of China’s oil product mechanism and exchange rate policy reforms in mitigating transmission distortions. In addition, we also find other asymmetries such as the asymmetric effects in different locations of dependent variable’s conditional distribution, and the different effects on raw material prices and product ex-factory prices from the same independent variables. |
doi_str_mv | 10.1016/j.eneco.2019.104551 |
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This paper explores the impacts of positive and negative changes in crude oil price and exchange rate variables on raw material procurement prices and product ex-factory prices of China’s industrial enterprises. We run the nonlinear autoregressive distributed lag (NARDL) model for the full sample from January 2000 to June 2019, and find the existence of the cointegrating relationships and the asymmetries of the long-run effects from positive and negative changes in oil price and exchange rate variables. Then, we run the OLS and quantile regressions for the two subsamples. Through the analysis of the estimates in different quantities in the latter model, we obtain rich and novel findings. The main findings include the inconsistency between the practice of oil price and exchange rate transmissions in China and the usual theoretical explanations, and the active roles of China’s oil product mechanism and exchange rate policy reforms in mitigating transmission distortions. In addition, we also find other asymmetries such as the asymmetric effects in different locations of dependent variable’s conditional distribution, and the different effects on raw material prices and product ex-factory prices from the same independent variables.</description><identifier>ISSN: 0140-9883</identifier><identifier>EISSN: 1873-6181</identifier><identifier>DOI: 10.1016/j.eneco.2019.104551</identifier><language>eng</language><publisher>Kidlington: Elsevier B.V</publisher><subject>Asymmetric effects ; Asymmetry ; Autoregressive models ; Crude oil ; Crude oil prices ; Dependent variables ; Energy economics ; Exchange rate policy ; Exchange rates ; Foreign exchange rates ; Inconsistency ; Independent variables ; Industrial enterprises ; NARDL ; Oil prices ; Petroleum ; Prices ; Procurement ; Product ex-factory prices ; Quantile regression ; Raw material procurement prices ; Raw materials ; Reforms ; Regression analysis ; Variables</subject><ispartof>Energy economics, 2019-10, Vol.84, p.104551, Article 104551</ispartof><rights>2019 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. Oct 2019</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c396t-3e53ec297bd55c1c94e397235cace2fa35f3e7a348d41a5752f24291b995818c3</citedby><cites>FETCH-LOGICAL-c396t-3e53ec297bd55c1c94e397235cace2fa35f3e7a348d41a5752f24291b995818c3</cites><orcidid>0000-0001-6384-7258</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.eneco.2019.104551$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,27866,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Zhu, Huiming</creatorcontrib><creatorcontrib>Chen, Xiuyun</creatorcontrib><title>Asymmetric effects of oil prices and exchange rates on China’s industrial prices</title><title>Energy economics</title><description>•We explore the impacts of oil prices and exchange rates on China’s industrial prices.•We use NARDL models to check stable long-run relationships and asymmetries.•Inconsistencies between practice and theory are found by NARDL and Quantile methods.•The estimates at specific quantiles show the active roles of China’s policy reforms.
This paper explores the impacts of positive and negative changes in crude oil price and exchange rate variables on raw material procurement prices and product ex-factory prices of China’s industrial enterprises. We run the nonlinear autoregressive distributed lag (NARDL) model for the full sample from January 2000 to June 2019, and find the existence of the cointegrating relationships and the asymmetries of the long-run effects from positive and negative changes in oil price and exchange rate variables. Then, we run the OLS and quantile regressions for the two subsamples. Through the analysis of the estimates in different quantities in the latter model, we obtain rich and novel findings. The main findings include the inconsistency between the practice of oil price and exchange rate transmissions in China and the usual theoretical explanations, and the active roles of China’s oil product mechanism and exchange rate policy reforms in mitigating transmission distortions. In addition, we also find other asymmetries such as the asymmetric effects in different locations of dependent variable’s conditional distribution, and the different effects on raw material prices and product ex-factory prices from the same independent variables.</description><subject>Asymmetric effects</subject><subject>Asymmetry</subject><subject>Autoregressive models</subject><subject>Crude oil</subject><subject>Crude oil prices</subject><subject>Dependent variables</subject><subject>Energy economics</subject><subject>Exchange rate policy</subject><subject>Exchange rates</subject><subject>Foreign exchange rates</subject><subject>Inconsistency</subject><subject>Independent variables</subject><subject>Industrial enterprises</subject><subject>NARDL</subject><subject>Oil prices</subject><subject>Petroleum</subject><subject>Prices</subject><subject>Procurement</subject><subject>Product ex-factory prices</subject><subject>Quantile regression</subject><subject>Raw material procurement prices</subject><subject>Raw materials</subject><subject>Reforms</subject><subject>Regression analysis</subject><subject>Variables</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNp9kMtKAzEUhoMoWKtP4CbgemrOZDKTLFyU4g0Kgug6pJkTO0ObqclU7M7X8PV8ElNHt64O_JzvXD5CzoFNgEF52U7Qo-0mOQOVkkIIOCAjkBXPSpBwSEYMCpYpKfkxOYmxZYyJUsgReZzG3XqNfWgsRefQ9pF2jnbNim5ShpEaX1N8t0vjX5AG06eo83S2bLz5-viMtPH1Nibe_BGn5MiZVcSz3zomzzfXT7O7bP5wez-bzjPLVdlnHAVHm6tqUQthwaoCuapyLqyxmDvDheNYGV7IugAjKpG7vMgVLJQSEqTlY3IxzN2E7nWLsddttw0-rdRpSiEBBJSpiw9dNnQxBnQ6Xbk2YaeB6b083eofeXovTw_yEnU1UJgeeGsw6Ggb9BbrJiRHuu6af_lvOBV5RA</recordid><startdate>20191001</startdate><enddate>20191001</enddate><creator>Zhu, Huiming</creator><creator>Chen, Xiuyun</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope><orcidid>https://orcid.org/0000-0001-6384-7258</orcidid></search><sort><creationdate>20191001</creationdate><title>Asymmetric effects of oil prices and exchange rates on China’s industrial prices</title><author>Zhu, Huiming ; Chen, Xiuyun</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c396t-3e53ec297bd55c1c94e397235cace2fa35f3e7a348d41a5752f24291b995818c3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2019</creationdate><topic>Asymmetric effects</topic><topic>Asymmetry</topic><topic>Autoregressive models</topic><topic>Crude oil</topic><topic>Crude oil prices</topic><topic>Dependent variables</topic><topic>Energy economics</topic><topic>Exchange rate policy</topic><topic>Exchange rates</topic><topic>Foreign exchange rates</topic><topic>Inconsistency</topic><topic>Independent variables</topic><topic>Industrial enterprises</topic><topic>NARDL</topic><topic>Oil prices</topic><topic>Petroleum</topic><topic>Prices</topic><topic>Procurement</topic><topic>Product ex-factory prices</topic><topic>Quantile regression</topic><topic>Raw material procurement prices</topic><topic>Raw materials</topic><topic>Reforms</topic><topic>Regression analysis</topic><topic>Variables</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Zhu, Huiming</creatorcontrib><creatorcontrib>Chen, Xiuyun</creatorcontrib><collection>CrossRef</collection><collection>Environment Abstracts</collection><collection>Materials Business File</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>Environmental Sciences and Pollution Management</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Environment Abstracts</collection><jtitle>Energy economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zhu, Huiming</au><au>Chen, Xiuyun</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Asymmetric effects of oil prices and exchange rates on China’s industrial prices</atitle><jtitle>Energy economics</jtitle><date>2019-10-01</date><risdate>2019</risdate><volume>84</volume><spage>104551</spage><pages>104551-</pages><artnum>104551</artnum><issn>0140-9883</issn><eissn>1873-6181</eissn><abstract>•We explore the impacts of oil prices and exchange rates on China’s industrial prices.•We use NARDL models to check stable long-run relationships and asymmetries.•Inconsistencies between practice and theory are found by NARDL and Quantile methods.•The estimates at specific quantiles show the active roles of China’s policy reforms.
This paper explores the impacts of positive and negative changes in crude oil price and exchange rate variables on raw material procurement prices and product ex-factory prices of China’s industrial enterprises. We run the nonlinear autoregressive distributed lag (NARDL) model for the full sample from January 2000 to June 2019, and find the existence of the cointegrating relationships and the asymmetries of the long-run effects from positive and negative changes in oil price and exchange rate variables. Then, we run the OLS and quantile regressions for the two subsamples. Through the analysis of the estimates in different quantities in the latter model, we obtain rich and novel findings. The main findings include the inconsistency between the practice of oil price and exchange rate transmissions in China and the usual theoretical explanations, and the active roles of China’s oil product mechanism and exchange rate policy reforms in mitigating transmission distortions. In addition, we also find other asymmetries such as the asymmetric effects in different locations of dependent variable’s conditional distribution, and the different effects on raw material prices and product ex-factory prices from the same independent variables.</abstract><cop>Kidlington</cop><pub>Elsevier B.V</pub><doi>10.1016/j.eneco.2019.104551</doi><orcidid>https://orcid.org/0000-0001-6384-7258</orcidid></addata></record> |
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subjects | Asymmetric effects Asymmetry Autoregressive models Crude oil Crude oil prices Dependent variables Energy economics Exchange rate policy Exchange rates Foreign exchange rates Inconsistency Independent variables Industrial enterprises NARDL Oil prices Petroleum Prices Procurement Product ex-factory prices Quantile regression Raw material procurement prices Raw materials Reforms Regression analysis Variables |
title | Asymmetric effects of oil prices and exchange rates on China’s industrial prices |
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