The dynamic nexus of oil price fluctuations and banking sector in China: A continuous wavelet analysis

Bilgili, Faik; Kassouri, Yacouba; Kuşkaya, Sevda; Majok Garang, Aweng Peter

Abstract

The fluctuations in World and national energy prices and energy policies might affect the financial and real sectors. This paper focuses on the nexus between oil prices and bank credits in China through continuous wavelet analyses in the following distinct ways. First, we observe the potential effects of oil prices on Chinese claims on the private sector by following the whole sample data, and, sub-samples of the data. Secondly, we account for higher and lower frequencies for sub-samples and the whole sample in the dynamic interaction between oil prices and Chinese claims on the private sector. Thirdly, this study provides more insight into understanding the influence of oil prices on the supply of credits through time-varying estimations at different scales (frequencies). The continuous wavelet analyses demonstrate a positive impact of Chinese oil prices on the Chinese claims on the private sector from 1999:06 to 2019:02 at a 3-8-year cycle which corresponds to the full liberalization of the Chinese domestic oil market. The positive effect of the world oil price on claims on the private sector is, however, restricted only for the sub-period 2005–2012 due to a relatively lower degree of regulation of the Chinese domestic market during this sub-period.

Citation

Bilgili, F., Kassouri, Y., Kuşkaya, S., & Majok Garang, A. P. (2023). The dynamic nexus of oil price fluctuations and banking sector in China: A continuous wavelet analysis. Resources Policy, 88, Article 104449. https://doi.org/10.1016/j.resourpol.2023.104449

• Journal Article Type: Article
• Acceptance Date: Nov 19, 2023
• Publication Date: Dec 6, 2023
• Deposit Date: Dec 10, 2023
• Journal: Resources Policy
• Print ISSN: 0301-4207
• Electronic ISSN: 1873-7641
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 88
• Article Number: 104449
• DOI: https://doi.org/10.1016/j.resourpol.2023.104449
• Keywords: World oil prices, Chinese oil prices, Credit cycles in China, Claims on the private sector in China, Investment in China, Continuous wavelet analyses