Core Inflation Rate for China and the ASEAN-10 Countries: Smoothed Signal for Score-Driven Local Level Plus Scale Models

Blazsek Szabolcs, Licht Adrian, Ayala Astrid and Liu Su-Ping ()
Additional contact information
Blazsek Szabolcs: School of Business, Universidad Francisco Marroquín, Guatemala City, 01010, Guatemala
Licht Adrian: School of Business, Universidad Francisco Marroquín, Guatemala City, 01010, Guatemala
Ayala Astrid: School of Business, Universidad Francisco Marroquín, Guatemala City, 01010, Guatemala
Liu Su-Ping: College of Business and Public Management, Wenzhou-Kean University, 88 Daxue Rd, Ouhai, Wenzhou, 325060, Zhejiang Province, China

Studies in Nonlinear Dynamics & Econometrics, 2025, vol. 29, issue 2, 177-212

Abstract: We use a score-driven minimum mean-squared error (MSE) signal extraction method and perform inflation smoothing for China and the ASEAN-10 countries. Our focus on China and ASEAN-10 countries is motivated by the significant historical variation in inflation rates, e.g. during the 1997 Asian Financial Crisis, the 2007–2008 Financial Crisis, the COVID-19 Pandemic, and the Russian Invasion of Ukraine. Some advantages of the score-driven signal extraction method are that it uses dynamic mean and volatility filters, it considers stationary or non-stationary mean dynamics, it is computationally fast, it is robust to extreme observations, it uses information-theoretically optimal updating mechanisms for both mean and volatility, it uses closed-form formulas for smoothed signals, and parameters are estimated by using the maximum likelihood (ML) method for which the asymptotic properties of estimates are known. In the empirical application, we present the political and economic conditions for each country and analyze the evolution and determinants of the core inflation rate.

Keywords: core inflation rate; minimum mean-squared error (MSE) signal extraction; generalized autoregressive score (GAS); dynamic conditional score (DCS); monetary policy (search for similar items in EconPapers)
JEL-codes: C22 C52 E31 E52 E58 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/snde-2023-0042 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:29:y:2025:i:2:p:177-212:n:1006

Ordering information: This journal article can be ordered from
https://www.degruyte ... ournal/key/snde/html

DOI: 10.1515/snde-2023-0042

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().