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Constructing quarterly Chinese time series usable for macroeconomic analysis

Author

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  • Chen, Kaiji
  • Higgins, Patrick
  • Zha, Tao

Abstract

During episodes such as the global financial crisis and the Covid-19 pandemic, China experienced notable fluctuations in its GDP growth and key expenditure components. To explore the primary sources of these fluctuations, we construct a comprehensive dataset of GDP and its components in both nominal and real terms at a quarterly frequency. Applying two SVAR models to this dataset, we uncover the principal drivers of China's economic fluctuations across different episodes. In particular, our findings reveal the stark and enduring impacts of consumption-constrained shocks on GDP and all of its components, especially household consumption, both during and in the aftermath of the COVID-19 pandemic.

Suggested Citation

  • Chen, Kaiji & Higgins, Patrick & Zha, Tao, 2024. "Constructing quarterly Chinese time series usable for macroeconomic analysis," Journal of International Money and Finance, Elsevier, vol. 143(C).
    • Handle: RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000391
    DOI: 10.1016/j.jimonfin.2024.103052
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    Keywords

    Quarterly data; GDP components; Consumption subcomponents; Volatility; SVAR; Distinct regimes; Shock heteroskedasticity;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy

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