Structural Shocks of Uncertainties on Energy-Inflation Spillovers

Evidence from China’s Producer and Consumer Prices

Bibliographic Data

ID21489380
AuthorsShaobo Long (0000-0003-4549-8722, Chongqing University), Long Shaobo (Chongqing University), Feng Wenqing (Chongqing University), Wenqing Feng (0000-0001-7763-5870, Chongqing University)
Year2025
Volume46
Issue3
Pages122-146
Publication date2025-07-03
Open AccessNo
TypeARTICLE
VenueSocial Sciences in China (JOURNAL)
Journal identifiersISSN: 0252-9203 • E-ISSN: 1940-5952
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/02529203.2025.2593177
OpenAlexW4417364515
LanguageEN
References cited35

This study investigates time-frequency spillovers between international energy prices and China’s disaggregated PPI/CPI using TVP-VAR-BK methodology, and further evaluates the structural effects of uncertainties on energy-inflation spillovers through quantile regression techniques. The findings indicate that: 1) Stronger linkages exist in the energy-PPI system than in the energy-CPI system (40.61 percent vs 31.87 percent TCI), with producer materials’ prices as net transmitters. 2) Frequency-domain analysis documents that both systems are dominated by short-term effects, and confirms their spillover roles remain stable across time horizons. 3) Quantile regressions demonstrate that uncertainties generally reduce system spillovers, except when energy-PPI operates in weak linkages, triggering demand-driven feedback; the energy-CPI system shows no equivalent mechanism. These findings provide new insights into China’s structural inflation dynamics, affirming the need for differentiated policy responses to upstream and downstream price pressures

Productivity · Energy, Environment, and Transportation Policies · Energy, Environment, Economic Growth · Market Dynamics and Volatility

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