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Is there inflation in China? Evidence by a unit root approach

Author

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  • Liu, Tie-Ying
  • Chang, Hsu-Ling
  • Su, Chi-Wei
  • Lobonţ, Oana-Ramona

Abstract

In this paper, we developed the recursive unit root tests proposed by Phillips et al. (2013) to identify the beginning and end of speculative bubbles in Chinese consumer price index (CPI). This method is best suited for practical implementation and delivers a consistent date-stamping strategy to identify the multiple bubbles. The results show four inflationary periods exist in China from 2006–2014 based on CPI bubbles in urban and rural regions. The bubbles are similar between rural and urban regions, indicating consistency with the law of one price. Our test can analyze inflation’s fluctuations from the repetition of the CPI bubble.

Suggested Citation

  • Liu, Tie-Ying & Chang, Hsu-Ling & Su, Chi-Wei & Lobonţ, Oana-Ramona, 2017. "Is there inflation in China? Evidence by a unit root approach," International Review of Economics & Finance, Elsevier, vol. 52(C), pages 236-245.
    • Handle: RePEc:eee:reveco:v:52:y:2017:i:c:p:236-245
    DOI: 10.1016/j.iref.2017.01.011
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    Citations

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    Cited by:

    1. Ting-Ting Sun & Chi-Wei Su & Ran Tao & Meng Qin, 2021. "Are Agricultural Commodity Prices on a Conventional Wisdom with Inflation?," SAGE Open, , vol. 11(3), pages 21582440211, August.
    2. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96847, University Library of Munich, Germany.
    3. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96705, University Library of Munich, Germany.

    More about this item

    Keywords

    C22; E20; E31; Sup ADF test; Generalized sup ADF test; Bubbles; Consumer Price Index; Inflation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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