非线性特征视角下库存周期与宏观经济波动研究

The Nonlinear Characteristic Study of Inventory Cycles and Macroeconomic Fluctuation

库存及库存周期是衡量和预测产出波动、产出缺口的重要参考指标,在现代经济学研究中越来越受到重视。本文在已有研究文献的基础上,创新性地引入两区制门限向量自回归模型(TVAR),研究在库存周期中的补库存和去库存阶段中,库存冲击对宏观经济周期波动的非线性特征。实证结果表明,库存冲击是促进短期产出增长的重要因素,当前我国正处于被动型库存减少的补库存阶段,工业部门库存大幅减少,库存增长速度缓慢,对应经济周期中的萧条阶段;去库存与补库存之间的区制转换不仅受库存水平自身影响,同时还有20%-32.81%的概率受物价冲击影响;库存正向冲击短期内会带来物价水平降低和货币资金水平大幅上升。根据实证结论,建议当前采取供给侧结构性改革、降低生产成本等加快去库存方式实现稳增长目标,并加快过渡到库存重建的主动型库存增加阶段。同时要重视补库存阶段对后期物价水平带来的影响,中央银行要结合不同的库存周期所处阶段微调市场货币资金水平。

As an important reference indicators,inventory and inventory cycles has attract more and more attention on measuring and forecasting the output fluctuations and output gap in modern economics.In this paper,we build a two-regime threshold VAR model to analysis the nonlinear characteristics of the inventory cycle and macroeconomic fluctuations from a restocking and destocking perspective.The result shows that;inventory shock is an important factor in promoting short- term output growth,and we are in the restocking stage of the passive inventory reduction,and their is a sharply reduction of inventory in the industrial sector while the speed of restocking is slowly,and the economy continues to weaken,corresponding to the depression phase of the business cycle.With the inventory cycle,the switch between restocking and destocking is not only influenced by inventory shock,it also has the 20%to 32.81%probability influenced by price shock.The positive shock of the inventory will bring the price and funds of the money market rose sharply in the short time.So we suggest that;At present we should take measures to achieve the growth goal by accelerate destocking,such as the supply- side reform and cut the cost in the industrial sector,and take measures to switch the inventory cycle to the restocking.At the same time,we should pay attention to the trend of price in the restocking,and the central bank should slightly adjust the funds of the money market with the difference stage of inventory cycle.