Growth and Inflation Regimes in Greater Tumen Initiative Area

Bataa, Erdenebat (2019): Growth and Inflation Regimes in Greater Tumen Initiative Area.

Abstract

This paper tests for multiple structural breaks in the mean, seasonality, dynamics and conditional volatility of Greater Tumen Initiative Countries’ (GTI) growth and inflation, while also accounting for outliers. It finds a drop in the level of Chinese growth rate in the third quarter of 2011 and of inflation rate in 1998. There are more volatility regimes than the growth regimes and most GTI countries are currently enjoying historically low volatility of their growth and inflation. Two exceptions are the increased growth volatility for Japan since 2006 and inflation volatility for Russia since 2012. There is an increased importance of seasonality in GTI and especially in Chinese inflation volatility, constituting at least a half of the total volatility.

• Item Type: MPRA Paper
• Language: English
• Keywords: China slowdown, multiple structural breaks, seasonality, Greater Tumen Initiative, growth and volatility regimes, growth and inflation.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C18 - Methodological Issues: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles

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