中国宏观经济波动的结构性转变与启示

STRUCTURAL CHANGES AND IMPLICATIONS ABOUT CHINA’S MACROECONOMIC VOLATILITY

本文研究改革开放以来30年间中国主要宏观经济指标的季度时序波动性特征。笔者将时变参数随机波动模型应用于离散型时序分析,并运用存在干扰系数情况下的内生断点检验方法来正确识别不同经济指标波动性特征发生结构性变化的准确时间。研究结果表明,经济增长、通货膨胀、货币供给以及有效汇率等主要宏观经济指标的波动特征在20世纪90年代中期均发生显著结构性转变,宏观政策的系统性改进是这些变化的主要动因。

This paper investigates the nature of volatility in key macroeconomic variables in China over the past three decades. We apply stochastic volatility model to discrete time series analysis, and identify the accurate time point of the structural change of volatility feature in different economic index. Empirical results suggest a significant structural change in the volatility of the key macroeconomic variables in the mid 1990s. This change is mainly attributed to systematic improvements in China＇s macroeconomic policies.