中央企业发展与宏观经济增长——基于景气合成指数和MS-VAR模型的实证研究

The Development of Central Enterprises and Growth of Macro Economy——Empirical Research Based on Business Cycle Composite Index and MS-VAR Model

本文基于景气合成指数方法构建了中央企业与宏观经济的一致合成指数,在分析中央企业与宏观经济波动特征的基础上,研究了中央企业发展与宏观经济增长的内在关联。结论认为,总体而言,除中央企业改革年份之外,中央企业与宏观经济景气波动具有一致性。中央企业与宏观经济的线性和非线性Granger因果关系检验表明两者之间存在双向影响关系。马尔科夫区制转移向量自回归(MS-VAR)模型中脉冲响应函数的分析结果显示,中央企业对宏观经济具有先增强后减弱的正向冲击效应。通过"全产业链"循环和协同发展机制,中央企业对其自身发展的促进作用明显大于对宏观经济的促进。

Based on business cycle composite index method,this paper constructed the consistent composite indexes of central enterprises and macro economy respectively. Then intrinsic relations between central enterprises and macro economy were analyzed on the basis of examining their fluctuation characteristics. The results showed that the operating of central enterprises took on typical counter-cyclical features before 2008. The development of central enterprises was ahead of macro economy volatility obviously in the period from 2009 to 2013. The findings of linear and nonlinear Granger causality test indicate that there are bidirectional influences between central enterprises and macro economy. The study of impulse response function in the MS-VAR model reveals that the positive impact of central enterprises on macro economy are strengthening firstly and then weakening. Compared to macro economy,the central enterprises have more significant effects on themselves through whole industrial chain circulation and the mechanism of collaborative development.