基于奇异谱理论的我国经济周期测度

本文以1978-2007年中国经济为考察对象,分析宏观经济要素的波动性和协动性,归纳总结中国经济周期的特征事实。本文研究显示,运用奇异谱分析方法分析GDP增长率和其他经济要素增速的波动,发现存在着三种类型经济周期:9.3年左右的朱格拉周期,4.8年左右的政治经济周期和3.5年左右的基钦周期,而不是单一经济周期。运用格兰杰因果检验方法研究发现,9年左右朱格拉周期,深层次原因在于外部因素(净出口和外资)周期性冲击,而非是通常意义上的固定设备更新投资;4.8年左右的政治经济周期,与政府官员换届效应关系密切。此外,城市化和科技资本存量的增速,分别存在15.1年和26.4年周期振荡现象,二者水平提升将有助于延长经济周期。

This paper employs singular spectrum analysis （SSA） approach to analyze the time-series data of GDP and other macroeconomic factors＇ grow rate from 1978 to 2007 in China, and finds that there are three types economic cycle： Juglar cycle with 9.3 years or so, political and economic cycles with 4.8 years or so and Kitchin cycle with 3.5 years or so, rather than a single cycle as usual. Using Granger causality test method, we also find that the deep-seated reason of Juglar cycle is that external factors （net exports and foreign investment） cyclical shocks, rather than the fixed device replacement in general; political economic cycle with 4.8 years maybe closes to government officials behaviors. In addition, there are 15.1 years and 26.4 years periodic volatility in urbanization and technological growth rate, and the two levels of upgrade will help extend the economic cycle.