Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study

This study applies Hilbert–Huang transform (HHT) and event study methods to estimate the impacts of oil price shocks on China’s macroeconomy. The HHT method is used to quantify the intensity of each shock and select target shocks for event study. Event study method is used to model the effects of oil price shocks on China’s gross domestic product, consumer price index, exchange rate, and gross imports and exports. Empirical results show that oil price shocks negatively affect China’s GDP and exchange rate but positively affect China’s CPI. It is also found that severer oil price shock may cause more significant impacts on China’s imports and exports field. Finally, such results are compared with those existing researches, which are most representative and compatible with our case. This paper is the first quantifies the oil price shock intensity, and verifies the hypothesis that macroeconomic impacts of oil price shocks are depended on shock intensity. At the same time, the empirical results demonstrate that it is reasonable to combine HHT with event study in evaluating the macroeconomic effects of oil price shocks on China.