CHINA'S ROLE IN GLOBAL INFLATION DYNAMICS

被引:14
|
作者
Eickmeier, Sandra [1 ]
Kuehnlenz, Markus [1 ]
机构
[1] Deutsch Bundesbank, Wilhelm Epstein Str 14, D-60431 Frankfurt, Germany
关键词
Global Inflation; China; Structural Dynamic Factor Model; STRUCTURAL VECTOR AUTOREGRESSIONS; SIGN RESTRICTIONS; BUSINESS CYCLES; SUPPLY SHOCKS; FACTOR MODEL; IDENTIFICATION; NUMBER; US;
D O I
10.1017/S1365100516000158
中图分类号
F [经济];
学科分类号
02 ;
摘要
We apply a structural dynamic factor model to a large quarterly data set covering 38 countries between 2002 and 2011 to analyze China's role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their contributions to global price dynamics and the transmission mechanism. Our main findings are as follows: (i) Chinese supply and demand shocks affect prices in other countries significantly. Demand shocks matter slightly more than supply shocks. Producer prices tend to be more strongly affected than consumer prices by Chinese shocks. The overall share of international inflation explained by Chinese shocks is notable (about 6 percent on the average over all countries but not more than 13 percent in each region). (ii) Direct channels (via import and export prices) and indirect channels (via greater exposure to foreign competition and commodity prices) both matter. (iii) Differences in trade and in commodity exposure help explain cross-country differences in price responses.
引用
收藏
页码:225 / 254
页数:30
相关论文
共 50 条