太阳黑子冲击与中国经济稳定——基于BVAR模型的计量研究

The Study of Sunspot Shocks and China's Economic Stability——A Qualitative Study Based on BVAR Model

本文运用1999年第一季度至2014年第一季度的宏观经济数据,从企业家信心指数中分离出无法被宏观经济基本面所解释的太阳黑子冲击,采用贝叶斯VAR(BVAR)模型动态分析了太阳黑子冲击与中国经济稳定性之间的关系。研究结果表明:格兰杰因果检验揭示企业家信心指数与宏观经济关系密切;宏观经济冲击对太阳黑子冲击的影响是短暂和微弱的,但是太阳黑子冲击对宏观经济变量具有典型的驼峰状影响效应;货币政策在应对太阳黑子冲击而言是积极的,但是执行力度不足,不足以抵消通胀上升从而导致实际利率下降;方差分解表明太阳黑子冲击对宏观经济变量波动的贡献总体而言不大,宏观经济变量波动主要来自于其它宏观经济冲击。

This paper probes into the sunspot shock extracted from the entrepreneur confidence index,which cannot be explained by macroeconomic fundamentals based on the macroeconomic data from the first quarter of 1999 to the first quarter of 2014 and the relationship between the sunspot shocks and the stability of China's economy is therefore analyzed by means of Bayesian VAR(BVAR) model. The results proved that:(1) the Granger causality test revealed that the entrepreneur confidence index and macroeconomic have closely relationship;(2) the impact of macroeconomic shocks on macula shocks is short and weak,but the sunspot shocks on macroeconomic variables have a typical hump-shaped effect;(3) the impact of monetary policy in response to the terms of sunspots is positive,but the implementation strength is not insufficient enough to offset the actual interest rate decrease resulted from the inflation;(4) the variance decomposition indicates that sunspot shocks hold somewhat fluctuations on macroeconomic variables,which chiefly come from other macroeconomic shocks.