Inflation Risk Forecasting ——Based on the Perspective of Systemic Risk
Qi Yuqing

Abstract
In the framework of quantile regression model, this paper explores the impact of systemic risk on future inflation risk. We use data from Chinese financial institutions to measure the overall risk of financial market in China, and study its effects, including direction, magnitude and predictability, in two types of inflation risk calculated by consumer price index (CPI) and producer price index (PPI). The results show that the systemic risk greatly improves the predictability of inflation risk, which implies that the ascent of systemic risk will lead to the significant increase of both deflation or inflation risk in the future. The impact lasts 6 to 12 months. Compared with the CPI, the PPI risk will increase more under the shock of systemic risk. In addition, we also find that there is difference in the persistence of the impact of systemic risk on the two types of inflation risk, that is, the PPI inflation responds to ascending systemic risk more quickly. Finally, we forecast the inflation risk in China from March 2020 to March 2021 and propose relevant policy recommendations.

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