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Tracking Chinese CPI inflation in real time

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  • Michael Funke
  • Aaron Mehrotra

    ()

  • Hao Yu

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. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Michael Funke & Aaron Mehrotra & Hao Yu, 2015. "Tracking Chinese CPI inflation in real time," Empirical Economics, Springer, vol. 48(4), pages 1619-1641, June.
  • Handle: RePEc:spr:empeco:v:48:y:2015:i:4:p:1619-1641
    DOI: 10.1007/s00181-014-0837-3
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    Citations

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    Cited by:

    1. Minghong Tan, 2014. "The Transition of Farmland Production Functions in Metropolitan Areas in China," Sustainability, MDPI, Open Access Journal, vol. 6(7), pages 1-14, June.
    2. Bolan Liu & Xiaowei Ai & Pan Liu & Chuang Zhang & Xingqi Hu & Tianpu Dong, 2015. "Fuel Economy Improvement of a Heavy-Duty Powertrain by Using Hardware-in-Loop Simulation and Calibration," Energies, MDPI, Open Access Journal, vol. 8(9), pages 1-14, September.
    3. Chronis, George A., 2016. "Modelling the extreme variability of the US Consumer Price Index inflation with a stable non-symmetric distribution," Economic Modelling, Elsevier, vol. 59(C), pages 271-277.

    More about this item

    Keywords

    Nowcasting; CPI inflation cycle; Mixed-frequency modeling; Dynamic factor model; China; C53; E31; E37;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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