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Frontiers of Economics in China

Front Econ Chin    2009, Vol. 4 Issue (1) : 30-45     DOI: 10.1007/s11459-009-0002-7
research-article |
Structural instability of China inflation dynamics
ZHANG Chengsi()
School of Finance, Renmin University of China, Beijing 100872, China
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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.

Keywords inflation      inflation dynamics      structural change      monetary policy     
Corresponding Authors: ZHANG Chengsi,   
Issue Date: 05 March 2009
 Cite this article:   
ZHANG Chengsi. Structural instability of China inflation dynamics[J]. Front Econ Chin, 2009, 4(1): 30-45.
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