基于经济景气指数对我国经济周期波动转折点的识别

Identifying the Turning Points of China s Business Cycles Based on Economic Climate Index

本文利用NBER传统方法和动态因子模型计算景气指数,并基于B-B法获得转折点信息,作为经济周期波动基准日期的参考。两个景气指数及其转折点日期信息十分接近,共同反映出我国经济周期波动态势,通过对比存在差异的峰谷点信息,发现SW景气指数确定的峰谷点更准确,暂定为我国经济周期波动的基准日期。基于此,本文将我国21世纪这段时期划分为四轮经济周期,前两轮经济周期表现出上升阶段长、下降阶段短的非对称特征,而后两轮经济周期出现了上升阶段短而下降阶段长的非对称特征,我国经济目前正处于第四轮经济周期的收缩阶段。同时,本文考察了马尔可夫转换(MS)方法在我国经济周期转折点识别研究中的适用性,发现MS方法并不适合作为判断我国经济周期转折点信息的方法。

This paper calculates climate indexes by both the traditional method of NBER and dynamic factor model(DFMs),and obtains the information of the turning points from the indexes respectively based on Bry-Boschan Method(B-B),which is taken as a reference of business cycle fluctuation.The two climate indexes and relevant information of the turning points are close,they reflect the trend of Chinese business cycle fluctuation.Comparing the peaks and troughs which are different,this paper finds that SW climate index is more precise,so the turning points of the SW index are identified as the reference dates of Chinese business cycles.Based on the index,there exist four business cycles since 2000.We find that the first two business cycles have the asymmetry character of long expansion stage and short contraction stage,while the recent two business cycles have an opposite asymmetry character and China s economy is still in a contraction stage now.This paper also investigates whether Markov Switching(MS)model can be used to identify China s cyclical turning points.Unfortunately,this paper concludes that MS approach is not a good choice to decide China s cyclical turning points.