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Tracking Chinese CPI inflation in real time

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Author Info

  • Michael Funke

    ()

  • Hao Yu

    ()

  • Aaron Mehrota

    ()

Abstract

With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a major 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 infla-tion. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.

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Bibliographic Info

Paper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 21112.

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Date of creation: Dec 2011
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Handle: RePEc:ham:qmwops:21112

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Related research

Keywords: Nowcasting; CPI inflation cycle; mixed-frequency modelling; dynamic factor model; China;

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References

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  1. Libero Monteforte & Gianluca Moretti, 2010. "Real time forecasts of inflation: the role of financial variables," Temi di discussione (Economic working papers) 767, Bank of Italy, Economic Research and International Relations Area.
  2. Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series 1324, European Central Bank.
  3. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," CEPR Discussion Papers 7445, C.E.P.R. Discussion Papers.
  4. Mehrotra, Aaron & Funke, Michael & Yu, Hao, 2011. "Tracking Chinese CPI inflation in real time," BOFIT Discussion Papers 35/2011, Bank of Finland, Institute for Economies in Transition.
  5. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
  6. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
  7. George Kapetanios, 2002. "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers 471, Queen Mary, University of London, School of Economics and Finance.
  8. Andrew Filardo & Hans Genberg, 2010. "Targeting inflation in Asia and the Pacific: lessons from the recent past," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 251-273 Bank for International Settlements.
  9. Bańbura, Marta & Modugno, Michele, 2010. "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series 1189, European Central Bank.
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Cited by:
  1. Michael Funke & Hao Yu & Aaron Mehrota, 2011. "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers 21112, Hamburg University, Department of Economics.

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