供求冲击与中国经济波动:基于SVAR模型的甄别分析

Demand & Supply Shocks and Economic Fluctuations in China:an identification based on Structural VAR Model

本文首先利用经全国经济普查信息修正后的季度数据推算得到1992年第1季度到2008年第3季度的实际GDP和GDP减缩指数,然后借鉴Blanchard和Quah(1989)提出的方法构建二元SVAR模型,对驱动中国经济波动的供求冲击进行甄别分析。结果发现:①无论是在长期还是在短期,2/3以上的产出波动可以归因于供给冲击的影响;②对于价格波动,短期内需求冲击和供给冲击的贡献几乎相当,而长期内需求冲击能够解释70%左右;③总的来说,供给冲击和需求冲击在中国经济波动中具有几乎同等的重要性。上述结论具有重要的宏观操作政策含义。

This paper first calculates real GDP and GDP deflator index from the first quarter of 1992 to the third quarter of 2008 by means of the quarterly data adjusted after the national economic census in 2004. Then it builds a bivariate structural VAR model in the Blanchard and Quah＇ s methodology, and identifies demand and supply shocks in China＇ s economic fluctuations. It is concluded that： （1） more than two-thirds of output variability is attributed to supply shocks either in the long run or in the short run; （2） so far as the fluctuations of price level are concerned, the contribution of demand shocks nearly equals to that of supply shocks in the short run, while demand shocks account for 70 percent of the variability approximately in the long run;（3） in sum, supply shocks is almost as important as demand shocks in shaping economic fluctuations in China. The conclusions have revelation significances for macro - control operation.