摘要
近年来,许多研究认为,经济变量间的作用机制在不同的水平值下存在着显著差异。随着经济变量水平值的变化,经济系统中各变量间的作用机制也可能发生改变。本文使用TVP-VAR模型及其冲击反应函数,从动态的角度刻画经济增长率的波动机制,并以典型时点为例,对经济变量间作用机制的改变和迁移进行检验。实证结果表明:TVP-VAR模型对时点信息的捕捉能力较强,在样本期间内,经济增长与通货膨胀率之间的作用机制发生了显著的结构性转变。
The time-varying character of economic growth is a topic of macro-economic analysis. A great many scholars have had a deep study on it. Recent years, a lot of scholars consider that the mechanism of action between economic variables varies from different value and with the change of variable＇s value, the mechanism of action between them may change together. In early time, many research use regimeswitching model to divide economic growth into different region, but they can＇t describe the mechanism of economic variables. In this study, we will use TVP-VAR model and its impulse to describe the dynamic fluctuation mechanism of economic growth. And we will use typical time point as an example to illustrate the mechanism of action between different economic variables. Empirical results show that TVP-VAR model has advantage on catching information. And among the samples, the mechanism of action between economic growth and inflation rate has a structural change.
出处
《上海经济研究》
CSSCI
北大核心
2014年第5期3-11,112,共10页
Shanghai Journal of Economics
基金
国家社会科学基金重大项目(10ZD&006)资助
