|
|
Forecasting Core Inflation Based on Stock Market |
LI Jinchang,ZHANG Linyun |
|
|
Abstract Based on the research of inflation measurement at home and abroad, this paper applied 30% one-sided trimming approach, structural vector autoregression (SVAR) approach, variance trimming approach, persistence-weighted approach, variance-weighted index approach and HP filter approach to estimate China’s core CPI from January 2001 to December 2012. A comparative analysis revealed variance trimming approach was more suitable for estimating China’s core CPI and then this paper calculated the core CPI from January 2001 to September 2013 by using variance trimming approach. After filtering multiple financial indicators, we found the lowest price of the Shanghai composite index, the closing price of Shanghai composite index and the lowest price of Shenzhen composite index were the Granger causes to core CPI. This paper adopted these three stock indicators as independent variables and then forecasted core CPI with SVR. The result showed we would be in smooth inflation stage next five months, and it would decrease at first and then increase.
|
Received: 15 November 2013
Published: 15 January 2014
|
|
Corresponding Authors:
ZHANG Linyun
E-mail: zlyxiaomu@hotmail.com
|
|
|
|
|
|
|