Markov体制转换模型与经济周期分析

Markov Model with Regime-Switching and Analysis of Economic Cycle

根据信息选择滞后准则,将经济增长率的特点状态分为两个。本模型的特点是引入一个虚拟变量将序列在两个状态下的均值再分为改革开放前后两个情况。根据经济增长率的平滑概率发现改革开放前周期与波峰和波谷划分的周期相同,改革开放后的周期基本相同,只是经济的收缩状态比较长,尤其近几年。模型估计收缩的持续时间是3.5年,扩张的持续时间是3.1年;2005年和2006年是经济发展的扩张期,预计2007年是扩张期,2008年在北京举办奥运会,是经济发展的高峰期,预计2009年可能是经济从扩张到收缩的转折期,2010年经济有恢复的迹象。

Based on quality of economic growth rate, we establish model with markov switching. A quality of model import a dummy variable which can separate the series into two parts. Through the graph of smoothed probability of rate of economy , we obtain the same cycle to others way before reformation . the cycle have a little difference after opening and reform, but period of contraction have longer time, especially recent years. The model estimates that period of expansion is 3 years, and period of contraction is 3.5 years. 2005 and 2006 years is the state of expansion. Because period of expansion is 3 years, we predict that 2007 year is the state of expansion. Olympic Games will stage in 2008 . Development of economy will come to head .We predict that 2009 years is turning point of expansion and contraction of economy