Tracking Chinese CPI Inflation in Real Time
35 Pages Posted: 22 Dec 2011
Date Written: December 21, 2011
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 now cast Chinese CPI inflation. The importance of forward-looking and high-frequency variables in tracking inflation dynamics is highlighted and the policy implications discussed.
Keywords: nowcasting, CPI inflation cycle, mixed-frequency modelling, dynamic factor model, China
JEL Classification: C53, E31, E37
Suggested Citation: Suggested Citation
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