中国对澳大利亚和东盟国家通货膨胀决定的影响:一个马尔可夫转换分析

Richard C.K. Burdekin , Ran Tao
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引用次数: 0

摘要

中国在世界经济中的作用迅速提升,与此同时,中国与澳大利亚和东南亚国家联盟(ASEAN)的双边贸易也在不断增加,该地区的离岸人民币市场也在扩大。使用马尔可夫转换分析,考虑稳定和不稳定的国内通货膨胀制度的差异,我们发现了从中国到澳大利亚和五个较大的东盟经济体的显著通货膨胀传导的证据。当我们在马尔可夫转换向量自回归(MSVAR)框架中纳入货币供应和商品价格效应时,中国的通胀效应进一步得到证实。在我们的样本期内,允许政权更迭的重要性是显而易见的,这些通胀效应通常在国内通胀波动更大的时期表现得更强。这些关于中国通胀传导的研究结果代表了对先前主要局限于实体经济和贸易影响的文献的新颖延伸。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Chinese influences on inflation determination in Australia and the ASEAN group: A Markov-switching analysis

China's rapidly growing role in the world economy has been accompanied by rising bilateral trade with Australia and the Association of Southeast Asian Nations (ASEAN group) as well as expanded offshore renminbi (RMB) markets in the region. Using a Markov-switching analysis that allows for variation across stable and volatile domestic inflation regimes, we find evidence of significant inflation transmission from China to Australia and the five larger ASEAN economies. Chinese inflation effects are further confirmed when we incorporate money supply and commodity price effects within a Markov-switching Vector Autoregressive (MSVAR) framework. The importance of allowing for regime change over our sample period is clear and these inflation effects are shown to generally be stronger during periods when domestic inflation is more volatile. These findings on inflation pass-through from China represent a novel extension to a prior literature that has been primarily limited to real economy and trade effects.

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