Data for: The pass-through effects of oil price shocks on China's inflation: A time-varying analysis

Published: 26 April 2021| Version 3 | DOI: 10.17632/6p46k6x25c.3
Contributor:
Hailing Li

Description

Our dataset consists of monthly data of the oil supply, global demand, domestic demand, real oil price (ROP), import prices, producer prices and consumer prices from January 1999 to December 2016. To reflect the changes in oil supply, world oil production (WOP) provided by the U.S. Energy Information Administration (EIA) is selected, and the data are sourced from the Wind database. Because the Kilian economic index (KI), which was developed by Kilian (2009), can effectively reflect the global economic conditions (Klovland, 2002), following Gupta and Modise (2013) and Hu et al. (2017), we use this index to measure global demand. The year-on-year growth rate of China’s industrial added value (IAV) can effectively reflect China’s economic conditions; thus, following Tan et al. (2015) and Li et al. (2017), the IAV is chosen to represent the domestic demand. Following Gupta and Modise (2013) and Kim et al. (2017), the ROP is defined as the U.S. refiners’ acquisition cost for imported crude oil, for which data are obtained from the U.S. Department of Energy. Based on Shi and Zhao (2016) and Chen and Liao (2017), the IMPI is selected as the proxy for China’s inflation at the import stage. This index measures the changes in China’s imported commodity prices. Following Shi and Zhao (2016) and Zhu et al. (2019), the PPI is chosen to reflect China’s inflation at the production stage. This index measures the changes in the ex-factory price of industrial products. To analyze the effects of oil price shocks on China’s inflation at the consumption stage, we consider the CPI in our analysis. The data of IMPI, PPI and CPI are sourced from the Wind database.

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