Structural instability of China inflation dynamics

Abstract

This article employs recently developed unknown structural break tests to investigate intrinsic structural instability in China inflation dynamics over 1981–2007. 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.

摘要

运用新的未知断点结构性变化检验法研究1981–2007年中国月度通胀率动态路径的内生性变化, 并使用非标准分布条件下的渐进伴随概率分布函数计算了干扰参数检验统计量对应的p值。 实证结果显示, 通货膨胀动态路径在九十年代中期发生了显著性结构变化。 基于这种结构性转变的脉冲响应对比分析, 讨论了相应的货币政策启示。