中国经济波动率对经济增长率非对称影响效应的实证分析

The Empirical Analysis of the Asymmetric Effects of Economic Volatility on Economic Growth in China

首先通过数理模型分析经济波动率与经济增长率的关联性,并通过参数校准的方式初步判断我国经济波动率对经济增长率的影响是负向的。然后通过月度分解的GDP环比增长率,建立了一个GARCH(1,1)-M模型,验证了之前数理模型给出的结论。为了进一步研究经济增长波动率对经济增长可能产生的非对称影响效应,利用两区制的马尔科夫区制转移模型划分出了经济扩张期和经济收缩期。然后再通过建立带有表示经济周期不同阶段的虚拟变量的GARCH(1,1)-M分析了经济增长波动率对经济增长率影响的非对称特征。结果表明,在经济扩张期经济波动率对经济增长率产生正向影响,在经济收缩期经济波动率对经济增长率产生的是负向影响,并且这种负向影响程度强于经济扩张期产生的正向影响。这意味着政府在不同经济周期阶段短期需求管理政策的实施力度上应当有所不同。

This paper analyzes the relationship between the economic volatility and economic growth using a mathematical model, and the model predicts the negative relationship between the economic volatility and economic growth in China by way of parameters calibration. Then we establishes a GARCH （1,1）-M model using transformed monthly GDP growth rate,the results verify the prediction made by the mathematical model above. To further study the possible asymmetric impacts of volatility of economic growth on economic growth,a two-states Markov regime switching model is adopted to recognize economic expansion and contraction periods. Then the paper analyzes the asymmetric impact of the economic growth volatility on economic growth through the establishment the GARCH （1,1）-M model with dummy variables representing different stages of economic cycle. The results indicate that the volatility has a positive impact on economic growth in expansion periods, while in contraction periods the volatility has a negative impact on economic growth. The degree of impact in contraction periods is deeper than it in expansion periods. This means that the government efforts in the implementation of shortterm demand management policies should be different in different stages of the economic cycle.