中美两国经济周期波动的差异性与协同性研究

The Difference and Co-movement between China and USA Economy Cycle

文章基于HP滤波等多种周期项分解方法,对1960~2016年中国和美国经济波动的周期特征、持续性等进行比较,运用格兰杰因果检验和交叉相关系数检验研究中美两国经济的协同关系。研究表明,中国人均GDP波动幅度超过美国,持续性(时间序列相关)短于美国;中国经济收缩深度和扩张深度超过美国;中国分类经济指标的波动性从大到小排序为进口贸易、出口贸易、企业投资、政府支出、居民消费,居民消费平滑度低于美国。中美两国经济的协同关系有不断加强态势,居民消费是中美两国协同程度最高的分类经济指标。美国经济波动是中国经济波动的格兰杰原因。基于SVAR模型的脉冲响应过程显示,双边贸易是美国经济波动影响中国经济的重要渠道;1单位美国人均GDP正向波动在当期会对中美双边贸易总额产生1.0041单位的正向冲击,对中国人均GDP造成0.3635单位的正向冲击。在中国省区和美国州区,高收入地区的经济波动(波动持续时间和波动深度)低于低收入地区,收入水平与经济周期波动呈负相关关系;中国省区之间的经济协同高于美国州区;中国省际经济与美国国家层面经济之间总体上呈负相关关系,美国州际经济与中国国家层面经济之间不存在显著的相关关系。中美两国高收入地区经济的外部相关性比较低,经济独立性高于中低收入地区。

This paper compares the volatility,periodicity,and persistence of Chinese and American economies from 1960 to 2016 based on HP filter and other periodic decomposition methods.Granger causality test and cross-correlation test are used to study the comovement relationship between Chinese and American economies.The results show that the volatility and duration of China’s economic cycle exceed those of the U.S.,and the macroeconomic persistence and consumption smoothness are lower than those of the U.S.;the economies of China and the U.S.show weak co-movement tendency,and the fluctuation of the U.S.economy is the Granger cause of China’s.We build a SVAR model to analyze the impact of U.S.economic fluctuations on China.The impulse response progress shows that one unit of U.S.economic fluctuations will have a positive impact of 0.3635 unit on the Chinese economy in the current period.The economic volatility of high-income regions at the provincial and state levels is significantly lower than that of low-income regions in both China and the U.S.;the co-movement of economies between provinces in China is higher than that between states in the U.S.,which means the regional economic independence of China is weaker;there is asignificant negative correlation between American economy and Chinese provincial economies,while there is no relationship between Chinese economy and American state economies.The external economic correlations of high-income regions in both China and the U.S.are relatively low,which means their economic independence is higher than that of other regions.