Measuring China's core inflation for forecasting purposes: taking persistence as weight
| Autor: | Penglong Zhang, Zhiyong Fan, Yushan Hu |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Inflation Economics and Econometrics Index (economics) media_common.quotation_subject Headline inflation Monetary policy Univariate Astrophysics::Cosmology and Extragalactic Astrophysics General Relativity and Quantum Cosmology Mathematics (miscellaneous) Economic indicator Econometrics Economics Unit root Social Sciences (miscellaneous) Core inflation media_common |
| Zdroj: | Empirical Economics. 63:93-111 |
| ISSN: | 1435-8921 0377-7332 |
| DOI: | 10.1007/s00181-021-02128-x |
| Popis: | This paper constructs China's core inflation index based on persistence weights for monetary policy and inflation forecast. We apply the univariate autoregression model (AR), whereby the sum of autoregression coefficients is used to measure inflation persistence. Due to the possible unit root, we adopt the grid-bootstrap method to obtain the estimates for the inflation persistence. We re-weight the importance of each CPI component, according to its relative persistence. By comparing with traditional core inflation and headline inflation, we find that the persistence-weighted core inflation, is a leading indicator and an attractor of China's headline inflation, with a strong ability to predict the short-term headline inflation, as well as monetary policy decisions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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