中国经济周期运行特点及拐点识别分析

Identifying the Turning Points and Its Characteristics of Business Cycles in China

本文运用吉布斯抽样方法估算了我国经济周期的多变量动态马可夫转换因素模型,对我国经济周期进行拐点识别和同步指数分析,进而揭示出我国经济周期的长期和短期运行特点。分析表明,就长期而言,我国经济周期运行表现出明显的协动性和非线性特征,改革开放以前,宏观经济波动剧烈,情势转换发生得较为频繁,改革开放以后,宏观经济波动明显趋缓;就短期而言,尤其是20世纪90年代以来,我国经济周期运行平稳,协动性特征依然显著但非线性特征明显减弱。

This paper applies Gibbs sampling approach to estimate multivariate dynamic Markov-switching factor model of business cycle and analyzes the characteristics of business cycles as well as identifying the turning points. Our conclusions are as follows: (1) In the long run, business cycles presence the characteristics of co-movement and nonlinearity in China, economy fluctuated markedly and regimes switched frequently before the reform and opening up, while economy became more smoothing after the reform and opening up;(2) In the short run particularly since 1990’s, the evolution of business cycle became more smoothing with prominent characteristics of co-movement but characteristics of nonlinearity reduced.