中国经济周期波动的区制转移模型及区制状态

Regimes Switching in China's Business Cycle and Analysis of the Properties of Regimes

随着我国经济周期波动性的显著降低,我国价格水平变化的稳定性也逐渐加强,这说明经济增长率与通货膨胀率之间存在一定程度的替代与影响关系。为了描述和检验我国经济周期波动过程中实际产出和名义价格之间的长期均衡关系和短期波动模式,我们使用具有M arkov区制转移性质的向量误差修正模型,对不同状态和区制条件下经济增长率与通货膨胀率之间的相关关系进行了度量和检验。通过检验发现,我国经济周期中存在显著的两区制性质,即经济周期可以划分为“适速增长”阶段和“快速增长”阶段,并且“适速增长”阶段具有更长的持续期和更显著的稳定性;我国经济增长率与通货膨胀率之间的影响与替代关系具有依赖经济周期阶段性的“门限性质”,这意味着在经济周期的不同阶段,我国的经济运行具有不同的“菲利普斯”曲线机制,因此,应该根据经济周期波动的态势对通货膨胀率及其变化做出动态预期,货币政策既要对价格水平产生名义影响,也要对产出水平产生实际影响。

With a decrease of volatility in China＇s business cycles, stability in price is increased. This indicates a trade -off and influence relationship between output and inflation in both the levels and the volatilities. In this paper, we are using the Vector Error Correct Model with Markov Regime Switching to test the equilibrium relationships in the long run and the short fluctuation patterns in the short run in the real output and inflation. Our aims are to test the relationships between growth and inflation in different regimes. We also want to test whether the relationship depends on the stages of business cycle. We find the following empirical evidences and economic policy implications： Firstly, by measuring and testing the regimes of growth, we find the evidence of the existence of boundary of growth. The growth process can be divided into two regimes titled by ＂suitable growth＂ and ＂ fast growth＂ with the mean growth of 9.71% and 17.77% respectively. China＇s growth is frequently approaching the regime of ＂suitable growth＂. At the same time, the regime of ＂suitable growth＂ has both a stronger stability and a longer duration. This is the result of growth approaching natural rate. Secondly, by estimating the transition probabilities and the durations of regimes, we find the evidence supporting the existence of business cycle asymmetry in China＇s business cycles. In the point of duration, ＂suitable growth＂ is two times as long as the duration of ＂fast growth＂. In the point of transition possibility, the probability transited from ＂suitable growth＂ to ＂fast growth＂ is 7. 86%, and the inversed transition probability is 17.04%. This means that the economic growth is more likely to go slowly than fast. In the point of volatility, the standard deviations of ＂suitable growth＂ and ＂fast growth＂ are 1.95% and 3.67%. This means that the regime of ＂suitable growth＂ is a stable state compared with the regime of ＂fast growth＂. Thirdly, by measuring and testing the relationship between growth and inflation both in level and volatility, we find the evidences which show the threshold effect and spillover effect from inflation to growth. If inflation exceeds 10% volatility will be increased in the , it will hurt the growth. If the inflation uncertainty is enlarged, output following periods. As the Phillips Curve depends on the regimes of business cycles, we should choose the monetary target and tools according to the stages of growth. China＇s growth is at the regime of ＂suitable growth＂. In macroeconomic control, we should take a healty monetary policy to prevent the appearance of higher inflation and to avoid the return of deflation at the same time.