我国经济周期波动的非对称性和持续性研究

Empirical Investigation on the Asymmetry and Persistence of Chinese Business Cycle

本文利用1979年至2004年之间中国GDP季度数据,采用三区制马尔可夫均值和方差转移的二阶自回归(MSMV(3)-AR(2))模型和贝叶斯Gibbs抽样非参数估计方法,对我国经济周期波动的非对称性和持续性进行了实证分析。实证结果表明,MSMV(3)-AR(2)模型对我国经济状况提供了很好的拟合,显著支持增长率序列具有三区制状态:低速增长阶段,适速增长阶段和高速增长阶段。我国经济周期的非对称性主要体现在各个增长阶段的均值、方差、阶段性之间的转移概率的不同。我国经济周期的持续性主要体现在各个增长阶段的自维持概率和阶段性之间的转移概率的不同。此外,我国经济"适速增长阶段"的稳定性最高,"高速增长阶段"的平均持续期最长。

This paper investigates the asymmetry and persistence of Chinese business cycle by utilizing MSMV （3）-AR（2） and Bayesian Gibbs-sampling nonparametric approach and by employing GDP data from 1979Q1 to 2004Q4 in China. The three regimes＇ mean, variance and matrix of transition probability are estimated and are significant. The resuhs support the hypothesis of three regimes in Chinese economy： low-growth, normal-growth and rapid growth. Moreover, the results show the asymmetry of Chinese business cycles in three regimes through different mean, variance and transition probability. The results also show the different persistence of Chinese business cycle in three regimes through transition probability. Finally, normal-growth regime is the most robust among three regimes and rapid-growth regime has the longest duration among three regimes.