Amstad, Marlene and Huan, Ye and Ma, Guonan (2014) Developing an underlying inflation gauge for China. Bruegel Working Paper 2014/11, 9 October 2014. [Working Paper]
Abstract
This paper develops a new underlying inflation gauge (UIG) for China which differentiates between trend and noise, is available daily and uses a broad set of variables that potentially influence inflation. Its construction follows the works at other major central banks, adopts the methodology of a dynamic factor model that extracts the lower frequency components as developed by Forni et al (2000) and draws on the experience of the People’s Bank of China in modelling inflation.
| Item Type: | Working Paper |
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| Uncontrolled Keywords: | Inflation, Dynamic Factor Models, Core Inflation, Monetary Policy, Forecasting, China. |
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| Subjects for non-EU documents: | Countries > China |
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| Subjects for EU documents: | UNSPECIFIED |
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| EU Series and Periodicals: | UNSPECIFIED |
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| EU Annual Reports: | UNSPECIFIED |
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| Series: | Series > Bruegel (Brussels) > Working Papers |
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| Depositing User: | Phil Wilkin |
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| Official EU Document: | No |
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| Language: | English |
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| Date Deposited: | 10 Oct 2014 10:38 |
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| Number of Pages: | 24 |
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| Last Modified: | 10 Oct 2014 10:38 |
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| URI: | http://aei.pitt.edu/id/eprint/55793 |
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