Structural instability of China inflation dynamics

Chengsi Zhang

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2009, vol. 4, issue 1, 30-45

Abstract: This article employs recently developed unknown structural break tests to investigate intrinsic structural instability in China inflation dynamics over 1981¨C2007. In order to capture accurately the statistical nature of potential structural beak, we use asymptotic p-value function under the non-standard distribution condition to compute the p-values for structural change tests in the presence of nuisance parameter. Empirical results suggest that China inflation dynamics witnessed a significant structural change at the end of 1994 and the instability appears to be originated from the dynamic parameters in the underlying model. The paper discusses important policy implications of the empirical findings through impulse response analyses.

Keywords: inflation; inflation dynamics; structural change; monetary policy (search for similar items in EconPapers)
JEL-codes: C22 E31 E52 E58 (search for similar items in EconPapers)
Date: 2009
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Journal Article: Structural instability of China inflation dynamics (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:fec:journl:v:4:y:2009:i:1:p:30-45

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