三种频率选择滤波及其在中国的应用

Three Frequency Selective Filters and Their Applications in China

随着RBC理论的产生和发展,先后出现了三种有影响的滤波方法,即HP滤波、BK滤波和CF滤波。由于这些滤波的目的都是要分离出原始时间序列中特定频段的成分,因此被称为频率选择滤波。我国最近几年出现了应用这些滤波器的研究,但是中间存有一定的问题,主要原因是对相关文献掌握不足。因此,在分析了各个滤波器的特点之后,对于中国宏观年度数据2～8年频段的滤波,我们推荐使用经过Ravn和Uhlig调整的HP滤波和CF滤波。最后,我们用CF滤波方法讨论了中国的菲利普斯曲线与通货膨胀-货币增长关系。

With the emergence and development of RBC theory, three influential filters were designed to detrend the data successively, which are HP filter, BK filter and CF filter. They can all be regarded as frequency selective filter, because of their ability to remove the components of all the other frequencies while leaving the desired components intactly. The use of these filters appeared in Chinese literatures recently, however, some flaws exist because of the poor comprehension of the mechanisms of these filters. After the peculiarities of these filters are reviewed, we recommend Ravn ＆ Uhlig adjusted HP filter and CF filter while filtering Chinese annul macro data in the frequencies between 2-8 years. Finally, the Phillips curve and inflation-money growth relationship in China are discussed using CF filters.