Tracking Chinese CPI Inflation in Real Time

35 Pages Posted: 22 Dec 2011

See all articles by Michael Funke

Michael Funke

University of Hamburg - Department of Economics; Tallinn University of Technology (TUT)

Aaron N. Mehrotra

Bank for International Settlements (BIS)

Hao Yu

affiliation not provided to SSRN

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

Funke, Michael and Mehrotra, Aaron N. and Yu, Hao, Tracking Chinese CPI Inflation in Real Time (December 21, 2011). BOFIT Discussion Paper No. 35/2011, Available at SSRN: https://ssrn.com/abstract=1975754 or http://dx.doi.org/10.2139/ssrn.1975754

Michael Funke

University of Hamburg - Department of Economics ( email )

Von-Melle-Park 5
room 2128 C rise
Hamburg, 20146
Germany

Tallinn University of Technology (TUT) ( email )

Ehitajate tee 5
Tallinn, 12618
Estonia

Aaron N. Mehrotra (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Hao Yu

affiliation not provided to SSRN ( email )

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