摘要
本文应用一种新的时间序列分析方法——小波降噪方法和1992—2009年间的季度数据,估计了中国的产出缺口。估计结果表明:(1)小波降噪方法和季度数据估计的产出缺口波动相对比较频繁。(2)1998年第二季度之前的产出缺口波动幅度比较剧烈,之后的产出缺口波动趋于平缓。(3)产出缺口波动的频率正在降低,经济周期持续时间也在拉长。(4)宏观经济回暖的基础尚不牢固,短期内还不能中止反周期政策。文章还将小波降噪、HP滤波、BK滤波、UC卡尔曼滤波、SVAR方法估计的产出缺口进行了比较。结果显示,小波降噪方法具有更强的预测通货膨胀能力,能准确反映中国1992年以来的经济周期波动,而且具有较好的稳定性。
Using wavelet and quarterly data from 1992 to 2009, the paper estimates the output gap of China. The main conclusions are as follows: (1) the output gap estimated using quarterly data fluctuated more frequently than using yearly data. (2) The output gap fluctuated markedly before 1998Q2, but smoothly after 1998Q2. (3) The frequency of the output gap's fluctuation is decreasing, and the lasting time of the business cycle is increasing. (4) The decreasing trend of the economy since 2008Q2 has not presented any appearances of turnover. Moreover, the paper proved that the wavelet is more excellent than other methods on estimating the output gap.
出处
《经济研究》
CSSCI
北大核心
2010年第1期115-126,共12页
Economic Research Journal
关键词
小波降噪
季度数据
产出缺口
Wavelet Denoising
Quarterly Data
Output Gap