Journal of Central Banking Theory and Practice
Time-Varying Impacts of Structural Oil Price Shocks on Economic Policy Uncertainty in China: The Role of a Hybrid Monetary Policy Tools Framework
Abstract This paper examines the time-varying responses of China’s economic policy uncertainty (EPU) to five structural oil-price shocks, with particular attention to the responses of price- and quantity-based monetary policy instruments. Using quarterly data from 2007Q2 to 2025Q1, we estimate a TVP-VAR-SV model that incorporates both the interest rate gap and the money supply gap to capture the coexistence of price- and quantity-based policy tools in China. The results show that only aggregate supply shocks elicit …