Modeling China's inflation dynamics: An MRSTAR approach |
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| Institution: | 1. Department of Anesthesiology, The Second Affiliated Hospital of Harbin Medical University, Harbin, Hei Longjiang Province 150001, China;2. Department of Dermatology, The Second Affiliated Hospital of Harbin Medical University, Harbin, Hei Longjiang Province 150001, China;3. Department of Anesthesiology, The 211 Hospital of the Chinese People''s Liberation Army, Harbin, Hei Longjiang Province 150001, China;4. Department of Anesthesiology, The Fourth Affiliated Hospital of Harbin Medical University, Harbin, Hei Longjiang Province 150001, China;5. Department of Anesthesiology, The General Hospital of Daqing Oilfield, Daqing, Hei Longjiang Province 163000, China;6. The Hei Longjiang Province Key Lab of Research on Anesthesiology and Critical Care Medicine, Harbin, Hei Longjiang Province 150001, China;1. School of Information Technology, Jiangxi University of Finance and Economics, Nanchang 330013, China;2. School of Business Administration, Northeastern University, Shenyang 110819, China;3. Department of Economics, Acadia University, Wolfville, NS B4P 2R6, Canada;4. School of Business Administration, Acadia University, Wolfville, NS B4P 2R6, Canada;1. Department of Finance, School of Business, University at Albany, State University of New York, Albany, NY, United States;2. Bank of Israel, Israel;3. Bar-Ilan University, Israel;1. Department of Finance, School of Economics and Management, Changzhou University, Changzhou 213164, PR China;2. School of Business Administration, Zhejiang Gongshang University, Hangzhou 310018, PR China;3. Department of Accounting and Finance, School of Management, Zhejiang University, Hangzhou 310058, PR China |
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| Abstract: | This paper examines the nonlinearity of China's inflation rate and models its nonlinear dynamics using the multiple-regime smooth transition autoregressive model. The empirical results show that a four-regime logistic smooth transition autoregressive model can be used to model the nonlinear dynamics of China's inflation rate, and the impulse response analysis shows that the effect of shocks is transient and appears to be asymmetrical between the impulse responses to positive and negative shocks. |
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