Tracking Chinese CPI inflation in real time

Michael Funke; Aaron Mehrotra; Hao Yu

doi:10.1007/s00181-014-0837-3

Tracking Chinese CPI inflation in real time

Michael Funke
, Aaron Mehrotra^*
, Hao Yu

^*Corresponding author for this work

School of Economics

University of Hamburg
Bank for International Settlements

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then take the estimated indicator to nowcast Chinese CPI inflation. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.

Original language	English
Pages (from-to)	1619-1641
Number of pages	23
Journal	Empirical Economics
Volume	48
Issue number	4
DOIs	https://doi.org/10.1007/s00181-014-0837-3
Publication status	Published - 1 Jun 2015

Keywords

CPI inflation cycle
China
Dynamic factor model
Mixed-frequency modeling
Nowcasting

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10.1007/s00181-014-0837-3

Cite this

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title = "Tracking Chinese CPI inflation in real time",

abstract = "With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then take the estimated indicator to nowcast Chinese CPI inflation. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.",

keywords = "CPI inflation cycle, China, Dynamic factor model, Mixed-frequency modeling, Nowcasting",

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N2 - With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then take the estimated indicator to nowcast Chinese CPI inflation. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.

AB - With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then take the estimated indicator to nowcast Chinese CPI inflation. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.

KW - CPI inflation cycle

KW - China

KW - Dynamic factor model

KW - Mixed-frequency modeling

KW - Nowcasting

UR - https://www.scopus.com/pages/publications/84939895746

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Tracking Chinese CPI inflation in real time

Abstract

Keywords

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