中国经济周期波动特征的测度和经验分析
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摘要
增长和波动是宏观经济学的两大主题。宏观经济从长期看表现为经济增长,从短期看则存在着经济波动。短期经济波动是长期经济增长的表现形式,从绝对意义上讲,任何经济增长都是在经济波动过程中实现的,直线式增长从来就未曾出现过。2007年夏天,由美国次债危机引发的全球性金融危机再次深刻地印证了这一观点。
经济周期波动是经济波动的最主要表现形式,西方经济学家研究经济周期波动已有一百多年的历史。我国改革开放以来推行市场经济仅有30多年的时间,但几经起落,周期波动也呈现出了自己独有的一些新特点,因此,根据我国的实际情况,借鉴和发展国外经济周期波动的分析和测度方法,研究我国经济周期波动的特征和规律,为我国社会主义市场经济建设服务,不仅具有重要的方法论意义和理论意义,同时也是促进我国经济健康平稳发展的迫切要求。
本文在考察经济周期波动的内涵、测度方法和典型化事实以及它们之间关系的基础上,综合运用宏观经济学、计量经济学、统计学等知识,遵循从测度方法到经验分析的思路展开研究。首先,对现代经济周期波动测度方法和经验特征进行归纳、总结和评析；然后,在采集我国2000年以来的多组宏观经济数据的基础上,使用CF滤波法从原始序列中分离出周期成分,综合运用偏移度统计量、标准差和时差相关系数等分析技术和检验方法,分别对中国经济周期波动中的非对称性、波动性和协动性等经验特征进行分析,总结出中国经济周期波动的典型化事实,并与国内外同类研究结果加以对比。结果发现,中国经济周期波动的经验特征和典型化事实,既服从大部分的一般性，又具有相对独立的特殊性。
总的来说,通过本文的研究,我们能看到尽管2000年以来我国在较低的通胀率、较低的失业率下,保证了比较高的经济增长速度,而且利用投资速度从金融危机中走出,快速恢复了工业生产,但我国长期以来一直在努力探索的经济结构调整成果却并不显著,表现在第三产业发展有限,消费水平多年一直增长缓慢,劳动报酬分配不均,股市充满投机、大起大落等等,这些问题已经成为制约我国市场经济进一步健康发展的瓶颈。
Growth and fluctuations are two key themes of macroeconomics. Economic growth is a long-run issue, while in the short-run there exists economic fluctuations. Business fluctuation is the manifestation of economic growth. From the absolute sense, any economy does not develop steadily and linearly, and any growth is achieved in the fluctuations, which is deeply verified again by the global financial crisis sourced from Sub-prime crisis in USA,2007.
Business cycle fluctuation is the main form of economic fluctuations. It has been more than 100 years since western economists started to study business cycle fluctuations, but it was not until reform and opening up (1979) that the research on China's business cycle fluctuation started. However, with several ups and downs, the cyclical fluctuations have also shown its unique new features. Therefore, according to the actual conditions of our country, there arises great need for systematic and thorough summarization of the characteristics and laws of the economic fluctuation of China by developing the analytical and measurement method of business cycle fluctuation, which serves for socialist economic construction. That is not only of important methodological and theoretical significance, but also an urgent requirement to promote healthy and stable development of China's economy.
Based on the study of meanings, empirical analytical methodology, stylized facts of business cycle fluctuations and their relationships, this paper dresses with the clue from measurement to empirical analysis, combining knowledge of macroeconomics, econometrics and statistics. Firstly, the paper gives a generalization and comments of modern business cycle fluctuations measurement methods and empirical characteristic. Secondly, based on gathering large amount of China's macroeconomic data since 2000, it applies CF filtering approaches to decompose cycle part from original series, employs kinds of techniques such as standard error, time difference correlation coefficient and skewness statistic to analyze the volatility, co-movement and asymmetry of China's business cycle fluctuations respectively, concludes stylized facts of China's business cycle fluctuations, and then compares them with similar studies at home and abroad. It suggests that the empirical characteristics and stylized facts of China's business cycle fluctuations follow to generality in most other studies while have relatively independent particularities.
Overall, through this study, we can see that although China has ensured a relatively high rate of economic growth in low inflation and low unemployment since 2000, and walked out of financial crisis and quickly restored industrial production through increasing growth of investment; yet the economic restructuring that china has long been trying to explore has no significant effect, which manifests in limited development of tertiary industry, years of low consumption growth, uneven distribution of labor remuneration and speculative stock market with large fluctuations, and these problems have become the bottlenck that restricts the further healthy development of China's market economy.
经济周期波动是经济波动的最主要表现形式,西方经济学家研究经济周期波动已有一百多年的历史。我国改革开放以来推行市场经济仅有30多年的时间,但几经起落,周期波动也呈现出了自己独有的一些新特点,因此,根据我国的实际情况,借鉴和发展国外经济周期波动的分析和测度方法,研究我国经济周期波动的特征和规律,为我国社会主义市场经济建设服务,不仅具有重要的方法论意义和理论意义,同时也是促进我国经济健康平稳发展的迫切要求。
本文在考察经济周期波动的内涵、测度方法和典型化事实以及它们之间关系的基础上,综合运用宏观经济学、计量经济学、统计学等知识,遵循从测度方法到经验分析的思路展开研究。首先,对现代经济周期波动测度方法和经验特征进行归纳、总结和评析；然后,在采集我国2000年以来的多组宏观经济数据的基础上,使用CF滤波法从原始序列中分离出周期成分,综合运用偏移度统计量、标准差和时差相关系数等分析技术和检验方法,分别对中国经济周期波动中的非对称性、波动性和协动性等经验特征进行分析,总结出中国经济周期波动的典型化事实,并与国内外同类研究结果加以对比。结果发现,中国经济周期波动的经验特征和典型化事实,既服从大部分的一般性，又具有相对独立的特殊性。
总的来说,通过本文的研究,我们能看到尽管2000年以来我国在较低的通胀率、较低的失业率下,保证了比较高的经济增长速度,而且利用投资速度从金融危机中走出,快速恢复了工业生产,但我国长期以来一直在努力探索的经济结构调整成果却并不显著,表现在第三产业发展有限,消费水平多年一直增长缓慢,劳动报酬分配不均,股市充满投机、大起大落等等,这些问题已经成为制约我国市场经济进一步健康发展的瓶颈。
Growth and fluctuations are two key themes of macroeconomics. Economic growth is a long-run issue, while in the short-run there exists economic fluctuations. Business fluctuation is the manifestation of economic growth. From the absolute sense, any economy does not develop steadily and linearly, and any growth is achieved in the fluctuations, which is deeply verified again by the global financial crisis sourced from Sub-prime crisis in USA,2007.
Business cycle fluctuation is the main form of economic fluctuations. It has been more than 100 years since western economists started to study business cycle fluctuations, but it was not until reform and opening up (1979) that the research on China's business cycle fluctuation started. However, with several ups and downs, the cyclical fluctuations have also shown its unique new features. Therefore, according to the actual conditions of our country, there arises great need for systematic and thorough summarization of the characteristics and laws of the economic fluctuation of China by developing the analytical and measurement method of business cycle fluctuation, which serves for socialist economic construction. That is not only of important methodological and theoretical significance, but also an urgent requirement to promote healthy and stable development of China's economy.
Based on the study of meanings, empirical analytical methodology, stylized facts of business cycle fluctuations and their relationships, this paper dresses with the clue from measurement to empirical analysis, combining knowledge of macroeconomics, econometrics and statistics. Firstly, the paper gives a generalization and comments of modern business cycle fluctuations measurement methods and empirical characteristic. Secondly, based on gathering large amount of China's macroeconomic data since 2000, it applies CF filtering approaches to decompose cycle part from original series, employs kinds of techniques such as standard error, time difference correlation coefficient and skewness statistic to analyze the volatility, co-movement and asymmetry of China's business cycle fluctuations respectively, concludes stylized facts of China's business cycle fluctuations, and then compares them with similar studies at home and abroad. It suggests that the empirical characteristics and stylized facts of China's business cycle fluctuations follow to generality in most other studies while have relatively independent particularities.
Overall, through this study, we can see that although China has ensured a relatively high rate of economic growth in low inflation and low unemployment since 2000, and walked out of financial crisis and quickly restored industrial production through increasing growth of investment; yet the economic restructuring that china has long been trying to explore has no significant effect, which manifests in limited development of tertiary industry, years of low consumption growth, uneven distribution of labor remuneration and speculative stock market with large fluctuations, and these problems have become the bottlenck that restricts the further healthy development of China's market economy.
引文
[1]Aiyagari S.R.. On the Contribution of Technology Shocks to Business Cycles. Federal Reserve Bank of Minneapolis Quarterly Review.18(1994). pp.22-34
[2]Artis M.J., Kontolemis Z.G. and Osborn D.R.. Business Cycles for G7 and European Countries. The Journal of Business.70(1997). pp.249-279
[3]Banerjee A., Lumsdaine R. and Stock J.H.. Recursive and Sequential Tests of the Unit Root and Trend-Break Hypotheses:Theory and International Evidence. Journal of Business and Economic Statistics.10(1992). pp.271-287
[4]Baxter M. and King R.G.. Measuring Business Cycles:Approximate Band-pass Filters for Economic Series. The Review of Economics and Statistics.81(1999). pp.575-593
[5]Bochm. Review of Some Methodological Issues in Identifying and Analysing business Cycles. Melbourn Institute Working Paper No.26.1998
[6]Burns A.F. and Mitchell W.C.. Measuring Business Cycles. National Bureau of Economic Research. New York.1946
[7]Burns. Business Cycle Research and the Needs of Our Times, New York: Columbia University Press.1953
[8]Canova F.. Detrending and Business Cycle Facts. Journal of Monetary Economics. 41(1998a). pp.475-512
[9]Canova F.. Detrending and Business Cycle Facts:A User's Guide. Journal of Monetary Economics.41(1998b). pp.533-540.
[10]Christiano L.T. and Fitzgerald. The Business Cycle:It's Still a Puzzle. Federal Reserve Bank of Chicago Economic Perspectives.1998. pp.56-83
[11]Cogley T. and Nason J.. The Effects of the HP Filter on Integrated Series. Journal of Economic Dynamics and Control.19(1995). pp.253-278
[12]Cogley T. Alternative Definitions of the Business Cycle and Their Implications for Business Cycle Models:A Reply to Torben Mark Pederson. Journal of Economic Dynamics and Control.25(2001). pp.1103-1107
[13]Diebold F.X. and Rudebusch G,D.. A Nonparametric Investigation of Duration Dependence in the American Business Cycle. Journal of Political Economy.98(1990). pp.596-616
[14]Diebold F.X., Rudebusch G.D. and Sichel D.E.. Further Evidence on Business Cycle Duration Dependence. Business Cycles, Indicators, and Forecasting.1993. pp.87-116
[15]Hamilton J.D. A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle. Econometrica.57(1989). pp.357-38
[16]Keynes, J.M., The General Theory of Employment, Interest, and Money, London, Macmillan,1936. pp.314.
[17]Kydland F.E. and Prescott E.C.. Business Cycles:Real Facts and a Monetary Myth. Federal Reserve Bank of Minneapolis Quarterly Review. Spring(1990). pp. 383-398
[18]Lucas R.E.. Understanding Business Cycles. Stabilization of the Domestic and International Economy. Volume 5 of Carnegie-Rochester Series on Public Policy(1977). pp.7-29
[19]McCulloch J.H. The Monte-Carlo Cycle in Business Cycle Activity. Economic Inquiry.13(1975). pp.303-321
[20]Mills T.C.. Business Cycle Asymmetry and Duration Dependence:An International Perspective. Journal of Applied Statistics.28(2001). pp.713-724
[21]Mintz I.. Dating Postwar Business Cycles:methods and Their Application to Western Germany(1950-67).1969.New York. National Bureau of Economic Research.
[22]Mintz I.. Dating American Growth Cycles. The Business Cycle Today. NBER. New York.1972. pp.39-88
[23]Mitchell, W.C., Business Cycles:The problems and its Setting, New York, NBER. 1927
[24]Mudholkar G.S., Srivastava D.K. and Kollia G.D.. A Generalization of the Weibull Distribution with Application to the Analysis of Survival Data. Journal of the American Statistical Association.91(1996). pp.1575-1583
[25]Murray C.J. Cyclical Properties of Baxter-King filtered Time Series. Review of Economics and Statistics.2003. pp.472-476
[26]Neftci S.N. Are Economic Time Series Asymmetric over the Business Cycle?. Journal of Political Economy.92(1984). pp.307-328
[27]Nelson C.R. and Plosser C.I.. Trends and random Walks in Macroeconomic Time Series:some Evidence and Implications. Journal of Monetary Economics.10(1982). pp.139-162
[28]Prescott E.C.. Theory Ahead of Business Cycle Measurement. Federal Reserve Bank of Minneapolis Quarterly.10. pp.9-14
[29]Ravn M. and Uhlig H.. On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics Analysis. 2007(52). pp.371-376
[30]Sichel D.E.. Are business Cycles Asymmetric? A Correction. Journal of Political Economy.97(1989). pp.1055-1060
[31]Weinert H.. Efficient Computation for Whittaker Henderson Smoothing. Computational Statictics & Data Analysis.2007(52). pp.959-974
[32]Zarnowitz V. The Old and the New in U.S. Economic Expansion of the 1990s. NBER Working Paper 7721 (2000)
[33]Zuehlke T.W.. Business Cycle Duration Dependence Reconsidered. Journal of Business and Economic Statistics.21(2003).pp.564-569
[34]毕大川、刘树成：经济周期与预警系统,科学出版社,1991年版
[35]陈昆亭、龚六堂、邹恒甫：什么造成了经济增长的波动,供给还是需求：中国经济的RBC分析,世界经济,2004年第4期
[36]陈昆亭、周炎、龚六堂：中国经济周期波动特征分析：滤波方法的应用,世界经济,2004年第10期
[34]陈昆亭、龚六堂、邹恒甫：基本RBC方法模拟中国经济的数值试验,世界经济,2004年第2期
[37]陈昆亭、龚六堂：粘滞价格模型以及对中国经济的数值模拟——对基本RBC模型的改进,数量经济技术经济研究,2006年第8期
[38]董文泉、高铁梅、姜诗章、陈磊：经济周期波动的分析与预测方法,吉林大学出版社,1998版
[39]黄赜琳、朱保华：中国经济周期特征事实的经验研究,世界经济,2009年第7期
[40]林毅夫：本土化、规范化、国际化：祝贺创刊40周年,经济研究,1995年第10期
[41]林毅夫.：经济学研究方法与中国经济学科发展,经济研究,2001年第4期萨缪尔森：《经济学》(上册),商务印书馆,1979年中文版,p.357
[42]刘金全、范剑青：中国经济周期波动的相关性和非对称性研究,经济研究,2001年第5期
[43]刘金全：货币政策作用的有效性和非对称性研究,管理世界,2002年第3期
[44][美]涅米拉和克莱茵著,邱东等译：金融与经济周期预测,中国统计出版社,1998年版
[45]徐大丰、朱平芳、刘弘：中国经济周期的非对称性问题研究,财经研究,2005年第4期
[46]张爱芹、陈昆亭：影响我国经济快速增长的深层原因分析,石油大学学报(社会科学版),2001年第17卷第1期
[2]Artis M.J., Kontolemis Z.G. and Osborn D.R.. Business Cycles for G7 and European Countries. The Journal of Business.70(1997). pp.249-279
[3]Banerjee A., Lumsdaine R. and Stock J.H.. Recursive and Sequential Tests of the Unit Root and Trend-Break Hypotheses:Theory and International Evidence. Journal of Business and Economic Statistics.10(1992). pp.271-287
[4]Baxter M. and King R.G.. Measuring Business Cycles:Approximate Band-pass Filters for Economic Series. The Review of Economics and Statistics.81(1999). pp.575-593
[5]Bochm. Review of Some Methodological Issues in Identifying and Analysing business Cycles. Melbourn Institute Working Paper No.26.1998
[6]Burns A.F. and Mitchell W.C.. Measuring Business Cycles. National Bureau of Economic Research. New York.1946
[7]Burns. Business Cycle Research and the Needs of Our Times, New York: Columbia University Press.1953
[8]Canova F.. Detrending and Business Cycle Facts. Journal of Monetary Economics. 41(1998a). pp.475-512
[9]Canova F.. Detrending and Business Cycle Facts:A User's Guide. Journal of Monetary Economics.41(1998b). pp.533-540.
[10]Christiano L.T. and Fitzgerald. The Business Cycle:It's Still a Puzzle. Federal Reserve Bank of Chicago Economic Perspectives.1998. pp.56-83
[11]Cogley T. and Nason J.. The Effects of the HP Filter on Integrated Series. Journal of Economic Dynamics and Control.19(1995). pp.253-278
[12]Cogley T. Alternative Definitions of the Business Cycle and Their Implications for Business Cycle Models:A Reply to Torben Mark Pederson. Journal of Economic Dynamics and Control.25(2001). pp.1103-1107
[13]Diebold F.X. and Rudebusch G,D.. A Nonparametric Investigation of Duration Dependence in the American Business Cycle. Journal of Political Economy.98(1990). pp.596-616
[14]Diebold F.X., Rudebusch G.D. and Sichel D.E.. Further Evidence on Business Cycle Duration Dependence. Business Cycles, Indicators, and Forecasting.1993. pp.87-116
[15]Hamilton J.D. A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle. Econometrica.57(1989). pp.357-38
[16]Keynes, J.M., The General Theory of Employment, Interest, and Money, London, Macmillan,1936. pp.314.
[17]Kydland F.E. and Prescott E.C.. Business Cycles:Real Facts and a Monetary Myth. Federal Reserve Bank of Minneapolis Quarterly Review. Spring(1990). pp. 383-398
[18]Lucas R.E.. Understanding Business Cycles. Stabilization of the Domestic and International Economy. Volume 5 of Carnegie-Rochester Series on Public Policy(1977). pp.7-29
[19]McCulloch J.H. The Monte-Carlo Cycle in Business Cycle Activity. Economic Inquiry.13(1975). pp.303-321
[20]Mills T.C.. Business Cycle Asymmetry and Duration Dependence:An International Perspective. Journal of Applied Statistics.28(2001). pp.713-724
[21]Mintz I.. Dating Postwar Business Cycles:methods and Their Application to Western Germany(1950-67).1969.New York. National Bureau of Economic Research.
[22]Mintz I.. Dating American Growth Cycles. The Business Cycle Today. NBER. New York.1972. pp.39-88
[23]Mitchell, W.C., Business Cycles:The problems and its Setting, New York, NBER. 1927
[24]Mudholkar G.S., Srivastava D.K. and Kollia G.D.. A Generalization of the Weibull Distribution with Application to the Analysis of Survival Data. Journal of the American Statistical Association.91(1996). pp.1575-1583
[25]Murray C.J. Cyclical Properties of Baxter-King filtered Time Series. Review of Economics and Statistics.2003. pp.472-476
[26]Neftci S.N. Are Economic Time Series Asymmetric over the Business Cycle?. Journal of Political Economy.92(1984). pp.307-328
[27]Nelson C.R. and Plosser C.I.. Trends and random Walks in Macroeconomic Time Series:some Evidence and Implications. Journal of Monetary Economics.10(1982). pp.139-162
[28]Prescott E.C.. Theory Ahead of Business Cycle Measurement. Federal Reserve Bank of Minneapolis Quarterly.10. pp.9-14
[29]Ravn M. and Uhlig H.. On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics Analysis. 2007(52). pp.371-376
[30]Sichel D.E.. Are business Cycles Asymmetric? A Correction. Journal of Political Economy.97(1989). pp.1055-1060
[31]Weinert H.. Efficient Computation for Whittaker Henderson Smoothing. Computational Statictics & Data Analysis.2007(52). pp.959-974
[32]Zarnowitz V. The Old and the New in U.S. Economic Expansion of the 1990s. NBER Working Paper 7721 (2000)
[33]Zuehlke T.W.. Business Cycle Duration Dependence Reconsidered. Journal of Business and Economic Statistics.21(2003).pp.564-569
[34]毕大川、刘树成：经济周期与预警系统,科学出版社,1991年版
[35]陈昆亭、龚六堂、邹恒甫：什么造成了经济增长的波动,供给还是需求：中国经济的RBC分析,世界经济,2004年第4期
[36]陈昆亭、周炎、龚六堂：中国经济周期波动特征分析：滤波方法的应用,世界经济,2004年第10期
[34]陈昆亭、龚六堂、邹恒甫：基本RBC方法模拟中国经济的数值试验,世界经济,2004年第2期
[37]陈昆亭、龚六堂：粘滞价格模型以及对中国经济的数值模拟——对基本RBC模型的改进,数量经济技术经济研究,2006年第8期
[38]董文泉、高铁梅、姜诗章、陈磊：经济周期波动的分析与预测方法,吉林大学出版社,1998版
[39]黄赜琳、朱保华：中国经济周期特征事实的经验研究,世界经济,2009年第7期
[40]林毅夫：本土化、规范化、国际化：祝贺创刊40周年,经济研究,1995年第10期
[41]林毅夫.：经济学研究方法与中国经济学科发展,经济研究,2001年第4期萨缪尔森：《经济学》(上册),商务印书馆,1979年中文版,p.357
[42]刘金全、范剑青：中国经济周期波动的相关性和非对称性研究,经济研究,2001年第5期
[43]刘金全：货币政策作用的有效性和非对称性研究,管理世界,2002年第3期
[44][美]涅米拉和克莱茵著,邱东等译：金融与经济周期预测,中国统计出版社,1998年版
[45]徐大丰、朱平芳、刘弘：中国经济周期的非对称性问题研究,财经研究,2005年第4期
[46]张爱芹、陈昆亭：影响我国经济快速增长的深层原因分析,石油大学学报(社会科学版),2001年第17卷第1期