中国宏观经济和金融总量结构变化及因果关系研究

Structural Change of Chinese Macroeconomic and Financial Series and Causality Analysis

宏观经济和金融总量是否平稳是研究总量动态特征以及总量之间关系的前提。本文在考虑经济中结构变化的基础上对中国宏观经济和金融总量的时序列是具有单位根的非平稳还是分段趋势平稳进行了研究,结果发现在检验的10个总量中,有6个,即实际GDP、人均实际GDP、就业、实际银行信贷、实际储蓄负债和实际固定投资等总量的时序列是围绕着1个或2个结构断点的分段趋势平稳。分段趋势平稳的结论对于政策主导下的长期经济发展战略和短期经济稳定措施是否有效,以及总量之间关系的研究具有重要的启示。在单位根检验结果的基础上,本文还对消除趋势后的分段趋势平稳总量之间的因果关系进行了分析。

This paper applies unit root tests to 10 Chinese macroeconomic and financial series that allow for the possibility of up to two endogenous structural breaks. We find that 6 out of 10 series, which are GDP, GDP per capita, total number of employed persons, bank credit, deposit liabilities and fixed capital, can be more accurately characterized as a segmented trend stationary process around one or two structural breaks as opposed to a stochastic unit root process. The conclusions have important implications for policy-makers to formulate long-term economic growth strategy and short-run stabilization policies, as well as causality analysis among series.