香港经济周期的区制状态及其持续期依赖检验

Analysis of Hong Kong's Business Cycle Regimes and Duration Dependence

运用具有持续期依赖特征的Markov转移模型,通过Gibbs抽样法估计香港经济周期的区制状态和持续期依赖特征。结果显示:(一)香港经济存在显著的“增长率分界现象”,其经济周期波动呈现出明显的“高速增长”和“低速增长”区制状态;通过对区制变量的取值概率估计,可进一步对各区制的时段进行划分。(二)香港经济周期在两个区制均具有正的持续期依赖性,即香港经济退出“高速增长”或“低速增长”区制的概率会随着相应区制持续时间的延长而增大。

This paper uses the Markov-Switching model featuring duration dependence to test Hong Kong＇s growth regimes and its duration dependence. By measuring and testing the growth regimes,we find the evidence of the existence of growth boundary and divide the growth process into two regimes, i.e. ＂high growth regime＂and ＂low growth regime＂. The test shows that both the ＂high growth regime＂and the ＂low growth regime＂have positive duration dependence,which means an expansion or contraction is more likely to end as its duration increases.