Social Sciences in China, 2025

Vol. 46, No. 3, 2025

Structural Shocks of Uncertainties on Energy-Inffation Spillovers: Evidence from China’s Producer and Consumer Prices

(Abstract)

Long Shaobo and Feng Wenqing

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 conffrms 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.

Keywords: energy, inflation, time-frequency spillovers, uncertainty