经济转型背景下的中国经济周期 阅读全文
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Title | Structural Transition and China's Business Cycle
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作者 | 张连城 任光宇 |
Author | Zhang Liancheng and Ren Guangyu |
作者单位 | 首都经济贸易大学经济学院 |
Organization | Capital University of Economics and Business |
作者Email | zlc99@cueb.edu.cn;renguangyu_econ@foxmail.com |
中文关键词 | 潜在产出 产出缺口 状态空间模型 扩展的卡尔曼滤波 经济周期 |
Key Words | Business Cycle; Potential Output; Output Gap; State Space Model; Extended Kalman Filter |
内容提要 | 中国经济高速增长的三十余年间,经济环境、经济结构、政策区制都在不断发生变迁。传统的多元滤波技术尽管具备丰富的经济信息,却在系统参数保持恒定的强约束下丧失灵活性。本文放宽恒定系数的约束,构造具有时变系数的非线性结构模型以描述经济环境变化的中国,用对通胀-产出缺口的动态设定保证经济内涵并利用扩展的卡尔曼滤波法实证估计出潜在产出增长率变动的长周期、产出缺口波动的短周期、主要经济变量之间的动态联系以及外生变量施加影响的时变作用系数,并对估计结果的稳健性做了详细分析。结合经济环境、经济政策背景和外部冲击,讨论了中国的经济周期,并试图揭示中国经济周期的运行规律,指出中国经济正处于增长方式转变和增速换挡期,但今后若干年依然能够保持较高速度的增长。同时对中国短期和长期的经济走势进行了展望。 |
Abstract | During more than thirty years' high growth rate, the structures of China's economy and policy regime have been changing. Although it may have rich economic information, traditional multivariate filter would loose flexibility caused by the fixed parameters specification. To relax the strict constraint, this paper constructs a nonlinear structural model with time-varying coefficients to describe China's changing economic environment. The model establishes the dynamic relationship between inflation and output gap to ensure economic meaning. The long growth cycle of potential output, short growth cycle of output gap, dynamics among major variables and time-varying coefficients imposed by exogenous variables can be estimated by Extended Kalman Filter. After analysis on the robustness of results, the paper discusses China's business cycle and its operating law in relation to economic background and external shocks. It concludes the ability to maintain a high growth for years, while China is experiencing shift period for growth. The outlooks on China's economic trends in short-term and long-term are also given. |
文章编号 | WP733 |
登载时间 | 2014-10-21 |
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