新常态下经济波动的强度与驱动因素识别研究

Intensity and Driving Forces of Macroeconomic Fluctuations in the New Normal

科学测算经济波动的强度和驱动因素是进行宏观调控的基础。本文首先建立条件马尔科夫模型,测算发现延续大稳健与开启增速换挡是新常态下宏观经济运行的两大典型事实。为进一步探究其驱动因素,本文建立了刻画经济系统时变性的TVPSV-VAR模型,实证结果表明:第一,大稳健态势得以延续是结构冲击的刺激和传导机制双重渐变所致,分别表现为供给冲击和需求冲击的波动性下降以及经济系统对于冲击的传导显现出明显的缓冲作用,因而经济的自我稳定效应得到进一步加强。第二,增速换挡是潜在增长率下降和外部负向需求冲击长期化二者叠加的结果。供给冲击主导的经济增长长期趋势进入下行通道是主要因素,这是始于2006年的渐变而非2012年以来的突变,2012年的加快改革已使降速放缓但仍未实现托底;需求冲击主导的周期成分持续为负则是助推因素,微刺激政策效果逐渐显现但未足以转变冲击方向。新常态下的减速治理必须改革和调控双提速,加快结构调整、技术创新以及制度变革以平滑和扭转潜在增长率的下降趋势,同时迅速调整财政货币政策以对冲负向需求冲击常态化的影响。

Measuring economic volatility and its driving forces is crucial to macro-controls. Using the conditional Markov model, we find that great moderation and slowdown are two typical facts of macroeconomic operation under the new normal. We establish a TYP-SV-VAR model to investigate the driving forces, and find that： （ 1 ） the continuation of the great moderation is the result of changes of the impulse and propagation mechanisms of structural shocks. The volatility of supply shocks and demand shocks decline, and there is significant buffer effects for the shock transmission in economic system. Therefore, self-stabilizing effects are strengthened in the new-normal economy. （2） The slowdown is the outcome of declining potential growth rate and negative external demand shock. The down-turn of long-term economic growth since 2006 is the major factor. The accelerated reforms in 2012 has slowed down the declining rate, but not yet achieved underpinning. Continued negative cyclical components driven by demand shocks are boosting factors. Micro stimulating policy is gradually taking effects but has not yet changed the direction of shocks. To govern the economic slowdown, the government must speed up structural adjustment, technological innovation and institution reform to smooth and even reverse the downward trend of potential growth rate, and also quickly adjust the fiscal and monetary policy to hedge the negative effect of demand shocks.