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Assessing time-varying risk in China’s GDP growth

Author

Listed:
  • Lv, Mengdi
  • Jiao, Shoukun
  • Ye, Shiqi
  • Song, Hongmei
  • Xu, Jiexin
  • Ye, Wuyi

Abstract

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.

Suggested Citation

  • Lv, Mengdi & Jiao, Shoukun & Ye, Shiqi & Song, Hongmei & Xu, Jiexin & Ye, Wuyi, 2024. "Assessing time-varying risk in China’s GDP growth," Economics Letters, Elsevier, vol. 242(C).
    • Handle: RePEc:eee:ecolet:v:242:y:2024:i:c:s016517652400380x
    DOI: 10.1016/j.econlet.2024.111896
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    References listed on IDEAS

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    More about this item

    Keywords

    Time-varying distribution; GDP growth; Risks; Impact factor;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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