我国宏观经济和金融总量增长路径的结构变化研究

Testing for Structural Breaks on the Growth Path of China's Macroeconomic and Financial Variables

运用Perron和Yabu(2009)提出的拟可行广义最小二乘法(Quasi-FGLS),对我国有代表性的宏观经济和金融总量的增长路径是否存在结构变化进行检验。实证表明,除银行贷款外,其余9个总量(储蓄存款余额、固定资产投资GDP、人均GDP、就业、消费、进出口、名义工资总额和实际工资总额)的增长路径均发生结构变化,潜在增长率在结构断点前后明显改变,但这种变动有增有减,其中就业和居民消费的变化表现出明显的同步性。区别于以往检验方法,Quasi-FGLS结构变化检验结果不受残差平稳性影响,因此结论更加稳健。

The quasi-feasible generalized least squares procedure proposed by Perron and Yabu （2009）is applied to test structural changes in the growth paths of major macroeconomic and financial variables of China. Compared with other structural break detecting procedures, the advantage of the method utilized is that the empirical result is independent of the natural of noise component, so the conclusions can be more robust. The empirical evidence reveals that except for banking loan, structural changes occur in the growth paths of the other nine variables, including upwards and downwards movements and the potential growth rates change significantly. Besides, employment and consumption display significant synchronicity. Furthermore, the shocks of vital events and policies to economic operation are studied, and the underlying mechanism in the economic chain and the implications of the inconsistent movements are analyzed. Different from the previous test methods, Quasi-FGI.S structural changes in test results from the residuals smooth conclusion, which is more robust.