时变视角下中国经济波动的再审视

A Revisit of China's Economic Fluctuations from the Perspective of Time-varying Analysis

本文运用时变参数向量自回归(TVP-VAR)模型和传统的长期(BQ)约束对中国的产出和通货膨胀波动进行时变分解,考察供给和需求冲击的动态影响。研究结果显示,供给冲击解释了绝大部分产出波动,并存在"斜率之谜",但单变量分析表明中国产出的持久成分并不高。采用与供给冲击和需求冲击相关的BQ约束依然出现斜率之谜,并且需求冲击显得过于重要,符号约束成功避免了斜率之谜。虽然在全球性金融危机发生前需求冲击的重要性更高,但危机后两者相当,后危机时期产出波动下降由供给和需求共同所致。本文认为需求因素和全要素生产率波动下降是导致后危机时期经济趋稳的主要原因。

Based upon the TVP-VAR model and the long-run restriction, this paper decomposes the volatility of output and inflation in order to examine the dynamic effects of supply shock and demand shock. According to our results, the supply shock can explain most of the output volatility and there＇s a ＂slope puzzle＂. However, little fraction of China＇s output is permanent. Allowing supply shock to correlate with demand shock can＇t solve the ＂slope puzzle＂, while demand shock seems too important. With sign restric- tion, the ＂slope puzzle＂ can be solved. Although the demand shock was more important before the crisis, both the supply shock and demand shock played an equal role after the crisis and contributed to the modera- tion of output volatility. The decline in the volatility of demand factors and of the TFP are the mainly causes of the post-crisis economic stabilization.