A Dynamic Investigation on the International Transmission of Inflation:Assessing the Inflation-insulating Properties of Chinese Exchange Rate
YANG Zihui, LI Guangzhong, ZHANG Ning
Lingnan College / Institute of Economics Research/ Business School, Sun Yat-Sen University; Department of Economics/Institute of Resource, Environment and Sustainable Development, Jinan University
Abstract:
Based on the more recently developed technique of out-of-sample tests for Granger causality (McCracken, 2007), this paper investigates systematically the exported and imported characteristics of Chinese inflation. We also employ the technique of rolling impulse response analysis (Yang et al., 2006a) to investigate the role of China in international transmission of price and external imported feature of China’s inflation under different exchange rate regimes. We show that inflation in China exhibits external imported feature and China’s new exchange rate regime introduced in 2005 do not insulate the domestic price levels from foreign inflation shocks. Finally, we put forward to some advice to keep the price stability.
杨子晖, 李广众, 张宁. 通胀国际传递的动态关系研究——兼论中国汇率的“通胀屏蔽功能”[J]. 金融研究, 2016, 432(6): 1-17.
YANG Zihui, LI Guangzhong, ZHANG Ning. A Dynamic Investigation on the International Transmission of Inflation:Assessing the Inflation-insulating Properties of Chinese Exchange Rate. Journal of Financial Research, 2016, 432(6): 1-17.
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