各部门真实变量和技术冲击的协动性分析
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摘要
经济周期作为宏观经济学研究的重要内容之一,一直为众多国内外宏观经济学家所关注。有关经济周期的研究主要包括两个基本问题:协动性和非对称性。在经济衰退时,投资、产出、消费、就业等主要经济变量表现为同时期的下降;在经济繁荣时,他们又表现为同时期的上升,这种现象被认为是经济变量的协动性(comovement)。
上世纪80年代,在新古典主义经济学发展的后期,新自由主义经济学派提出了真实经济周期(RBC)理论,该理论为经济学的发展做出了重大贡献,特别是该理论中的动态一般均衡分析方法。但是,世上没有绝对完美的东西,一些经济学家对RBC理论提出了批判。关于该理论把技术冲击作为经济周期根源的结论,经济学界对此表示质疑,特别是以曼昆为代表的新凯恩斯主义学派。本文基于我国各个经济部门的实际数据,对技术冲击的存在性和技术冲击与经济周期的相关性问题做出分析。
本文主要采用实证分析方法,借助计量经济学的技术手段,对我国各部门主要行业的真实变量和技术冲击做了分析。结果表明,我国各行业经济周期存在着较强的协动性,而工业各行业的技术冲击部分的协动性较弱。这一结果证明了经济学界对RBC理论中技术冲击的批判,同时也否定了一些国内学者关于技术冲击是我国经济周期性波动的主要因素的结论。
Business cycle, the important part of macroeconomics, has been the concern of many domestic and international macro-economists. The economic cycle research includes two basic issues: the Society of mobility and non-symmetry. In the period of economic recession, investment, output, consumption, employment and other key economic variables showed a decline at the same time. While in the economic prosperity, they showed a rise. This phenomenon is considered as the comovement of economic variables (comovement).
In 1980s, when the neo-classical economics is in the later stage of development, neo-liberal economic school put forward the Real Business Cycle (RBC) theory. the theory made a great contribution to the economics development, especially the theory of dynamic general equilibrium analysis. However, there is no absolute perfect thing in the world, some economists criticize the RBC theory. This theory considers the impact of technology as the cause of the economic cycle. Some economists questioned the conclusion, particularly the New Keynesian school which is represented by Mankiw. On the base of real data of china’s economic sectors, the article analysis the presence of technology shocks and the relevant issues between technology shocks and business cycles in China.
In this paper, empirical analysis and theoretical analysis are combined to be used in the analysis of real variables and technology shocks in major industry sectors of China. The results showed that there is a strong co-moving nature in all sectors of economic cycles in China, except industrial sectors. The results not only testify the critique of technology shock of the RBC theory, but also deny that technology shock is the main factor of China's economic cycle.
上世纪80年代,在新古典主义经济学发展的后期,新自由主义经济学派提出了真实经济周期(RBC)理论,该理论为经济学的发展做出了重大贡献,特别是该理论中的动态一般均衡分析方法。但是,世上没有绝对完美的东西,一些经济学家对RBC理论提出了批判。关于该理论把技术冲击作为经济周期根源的结论,经济学界对此表示质疑,特别是以曼昆为代表的新凯恩斯主义学派。本文基于我国各个经济部门的实际数据,对技术冲击的存在性和技术冲击与经济周期的相关性问题做出分析。
本文主要采用实证分析方法,借助计量经济学的技术手段,对我国各部门主要行业的真实变量和技术冲击做了分析。结果表明,我国各行业经济周期存在着较强的协动性,而工业各行业的技术冲击部分的协动性较弱。这一结果证明了经济学界对RBC理论中技术冲击的批判,同时也否定了一些国内学者关于技术冲击是我国经济周期性波动的主要因素的结论。
Business cycle, the important part of macroeconomics, has been the concern of many domestic and international macro-economists. The economic cycle research includes two basic issues: the Society of mobility and non-symmetry. In the period of economic recession, investment, output, consumption, employment and other key economic variables showed a decline at the same time. While in the economic prosperity, they showed a rise. This phenomenon is considered as the comovement of economic variables (comovement).
In 1980s, when the neo-classical economics is in the later stage of development, neo-liberal economic school put forward the Real Business Cycle (RBC) theory. the theory made a great contribution to the economics development, especially the theory of dynamic general equilibrium analysis. However, there is no absolute perfect thing in the world, some economists criticize the RBC theory. This theory considers the impact of technology as the cause of the economic cycle. Some economists questioned the conclusion, particularly the New Keynesian school which is represented by Mankiw. On the base of real data of china’s economic sectors, the article analysis the presence of technology shocks and the relevant issues between technology shocks and business cycles in China.
In this paper, empirical analysis and theoretical analysis are combined to be used in the analysis of real variables and technology shocks in major industry sectors of China. The results showed that there is a strong co-moving nature in all sectors of economic cycles in China, except industrial sectors. The results not only testify the critique of technology shock of the RBC theory, but also deny that technology shock is the main factor of China's economic cycle.
引文
[1]贺卫.经济周期的发展前景初探[J].当代财经.1997(2):10-13.
[2]王金明,高铁梅.经济周期波动理论的演进历程及学派研究[J].首都经贸大学学报.2006(3).
[3]王建军.Markov机制转换模型研究—在中国宏观经济周期分析中的应用[J].数量经济与技术经济研究.2007(3):39-48.
[4]李少斌,刘朝阳.我国经济周期现象与货币政策的时间动态不协动性问题研究[J].武汉金融.2006(9):21-23.
[5]简泽.技术冲击、资本积累与经济波动—对实际经济周期理论的一个检验[J].统计研究.2005(11):73-78.
[6]王宪勇,韩煦.技术冲击、货币冲击与中国经济波动—个基于RBC模型的数值模拟[J]东北财经大学学报.2009(2):3-7.
[7]周炼石.技术冲击经济周期:中国经济长期增长的主导因素[J].上海经济研究.2008(8):3-12.
[8]齐鹰飞,王宪勇.技术冲击与中国经济周期波动[J].财政问题研究.2008(11):24-30.
[9]卜永祥,靳炎.中国实际经济周期:一个基本解释和理论扩展[J]。世界经济,2002,(7).
[10]陈昆亭,龚六堂,邹恒甫.什么造成了经济增长的波动,供给还是需求一中国经济的RBC分析[J].世界经济,2004,(4).
[11]黄赜琳,刘社建.实际冲击与中国产出持久性影响的实证分析[J].统计研究,2004,(10).
[12]黄赜琳.中国经济周期特征与财政政策效应[J].经济研究,2005,(6).
[13]张华初.关于我国农业的投入产出分析[J].统计与决策, 2007,(17).
[14]张洁,武戈.我国食品行业的投入产出分析[J].统计与决策, 2006,(15).
[15]贾志英,宋永雷.我国服务行业投入产出分析[J].合作经济与科技, 2007,(19).
[16]赵克杰,刘传哲.我国固定资产投资的投入产出分析[J].特区经济, 2007,(04).
[17]赵进文,温宇静.中国经济结构变动的投入产出分析[J].财经问题研究, 2004,(04).
[18]欧阳武.生产率度量的方法.[J]数量经济技术经济研究.1996,(12).
[19]张军,施少华.中国经济全要素生产率变动:1952-1998.[J]世界经济文汇.2003,(02).
[20]郭庆旺,贾俊雪.中国渐渐变得的解释:投资冲击与全要素生产率冲击.[J]管理世界.2004,(07).
[21]赵奉军,高波.中国全要素生产率的顺周期特征与决定因素:1952-2007.[J]经济经纬.2009,(02).
[22] Ravn, Morten.“Internat i onalBusiness Cycle in Theo ry and in Practice.”Journal of International Money and Finance, 1997,16(2), p255-283 .
[23] Canova, Fabio and Dellas, Harris.“Trade Interdependence and the International Business Cycle.”Journal of International Economics,34,1993, p23-47 .
[24] DiCecio, Riccardo“Comovement: It’s Not a Puzzle,”mimeo, Northwestern University, November, 2003.
[25] Boldrin, Michelle, Lawrence J. Christiano, and Jonas Fisher“Habit Persistence, Asset Returns, and the Business Cycle,”American Economic Review,91,p149—166, 2001.
[26] Burns, A.F., Mitchell, W.C., 1946. Measuring Business Cycles. National Bureau of Economic Research, New York, NY.
[27] Sergio Rebelo, 2005. " Real Business Cycle Models: Past, Present and Future" RCER Working Papers522, University of Rochester - Center for Economic Research (RCER).
[28] Blanchard, O., Quah, D., 1989. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79, p655–673.
[29]Brock, W.A. and L. J. Mirman, Optimal Economic Growth and Uncertainty: the Discounted Case, Journal of Economic Theory, 4 1972, p479-513.
[30]Lucas, R.E., Understanding Business Cycles,”Carnegie-Rochester conference series on Public Policy 5, 1976,p7-29.
[31]Kydland, Finn E, Edward C Prescott. Time to build and aggregate fluctuations. Econometrics 50 (1982).
[32]Long, John B Charles Plosser. Real business cycles. Journal of Political Economy 91 (1983).
[33]Gali, Jordi.“Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?”American Economic Review(march 1999),p249-271.
[34] Long, John B., and Plosser, Charles I.“Sectoral Versus Aggregate Shocks in the Business Cycle,”American Economic Review 70(1987), p333-336.
[35]Jordi Gali and Pau Rabanal.“Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Poster U.S. Data?”IMF Working Paper.
[36] Christiano, Lawrence J., and Terry Fitzgerald.“The Business Cycle: It’s Still a Puzzle.”Federal Reserve Bank of Chicago Economic Perspectives (Fourth Quarter 1998), p56-83.
[37] Hornstein, A. The business cycle and industry comovement. Federal Reserve Bank of Richmond Economic Quarterly, 86(2000), p27-48.
[38]Andreas Hornstein, Jack Praschnik. Intermediate inputs and sectoral comovement in the business cycle. Journal of Monetary Economics,40(1997),p573-595.
[39]Den Haan, W.J. The comovement between output and prices. Journal of Monetary economics,46(2000),p3-30.
[40]Shea and John.“Comovement in Cities,”Carnegie-Rochester Conference Series on Public Policy, 44(1996), p169-206.
[41]Shea and John.“Complementarities and Comovements,”Journal of Money, Credit and Banking, 34(2002), p412-433.
[42]Laura Veldkamp, Justin Wolfers.“Aggregate shocks or aggregate information? Costly information and business cycle comovement”Journal of Monetary Economics 54(2007),p37-55.
[43]Michael J. Lamla, Sarah M. Lein, and Jan-Egbert Sturm.“News and Sectoral Comovement”KOF Working Papers No.183(December 2007).
[2]王金明,高铁梅.经济周期波动理论的演进历程及学派研究[J].首都经贸大学学报.2006(3).
[3]王建军.Markov机制转换模型研究—在中国宏观经济周期分析中的应用[J].数量经济与技术经济研究.2007(3):39-48.
[4]李少斌,刘朝阳.我国经济周期现象与货币政策的时间动态不协动性问题研究[J].武汉金融.2006(9):21-23.
[5]简泽.技术冲击、资本积累与经济波动—对实际经济周期理论的一个检验[J].统计研究.2005(11):73-78.
[6]王宪勇,韩煦.技术冲击、货币冲击与中国经济波动—个基于RBC模型的数值模拟[J]东北财经大学学报.2009(2):3-7.
[7]周炼石.技术冲击经济周期:中国经济长期增长的主导因素[J].上海经济研究.2008(8):3-12.
[8]齐鹰飞,王宪勇.技术冲击与中国经济周期波动[J].财政问题研究.2008(11):24-30.
[9]卜永祥,靳炎.中国实际经济周期:一个基本解释和理论扩展[J]。世界经济,2002,(7).
[10]陈昆亭,龚六堂,邹恒甫.什么造成了经济增长的波动,供给还是需求一中国经济的RBC分析[J].世界经济,2004,(4).
[11]黄赜琳,刘社建.实际冲击与中国产出持久性影响的实证分析[J].统计研究,2004,(10).
[12]黄赜琳.中国经济周期特征与财政政策效应[J].经济研究,2005,(6).
[13]张华初.关于我国农业的投入产出分析[J].统计与决策, 2007,(17).
[14]张洁,武戈.我国食品行业的投入产出分析[J].统计与决策, 2006,(15).
[15]贾志英,宋永雷.我国服务行业投入产出分析[J].合作经济与科技, 2007,(19).
[16]赵克杰,刘传哲.我国固定资产投资的投入产出分析[J].特区经济, 2007,(04).
[17]赵进文,温宇静.中国经济结构变动的投入产出分析[J].财经问题研究, 2004,(04).
[18]欧阳武.生产率度量的方法.[J]数量经济技术经济研究.1996,(12).
[19]张军,施少华.中国经济全要素生产率变动:1952-1998.[J]世界经济文汇.2003,(02).
[20]郭庆旺,贾俊雪.中国渐渐变得的解释:投资冲击与全要素生产率冲击.[J]管理世界.2004,(07).
[21]赵奉军,高波.中国全要素生产率的顺周期特征与决定因素:1952-2007.[J]经济经纬.2009,(02).
[22] Ravn, Morten.“Internat i onalBusiness Cycle in Theo ry and in Practice.”Journal of International Money and Finance, 1997,16(2), p255-283 .
[23] Canova, Fabio and Dellas, Harris.“Trade Interdependence and the International Business Cycle.”Journal of International Economics,34,1993, p23-47 .
[24] DiCecio, Riccardo“Comovement: It’s Not a Puzzle,”mimeo, Northwestern University, November, 2003.
[25] Boldrin, Michelle, Lawrence J. Christiano, and Jonas Fisher“Habit Persistence, Asset Returns, and the Business Cycle,”American Economic Review,91,p149—166, 2001.
[26] Burns, A.F., Mitchell, W.C., 1946. Measuring Business Cycles. National Bureau of Economic Research, New York, NY.
[27] Sergio Rebelo, 2005. " Real Business Cycle Models: Past, Present and Future" RCER Working Papers522, University of Rochester - Center for Economic Research (RCER).
[28] Blanchard, O., Quah, D., 1989. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79, p655–673.
[29]Brock, W.A. and L. J. Mirman, Optimal Economic Growth and Uncertainty: the Discounted Case, Journal of Economic Theory, 4 1972, p479-513.
[30]Lucas, R.E., Understanding Business Cycles,”Carnegie-Rochester conference series on Public Policy 5, 1976,p7-29.
[31]Kydland, Finn E, Edward C Prescott. Time to build and aggregate fluctuations. Econometrics 50 (1982).
[32]Long, John B Charles Plosser. Real business cycles. Journal of Political Economy 91 (1983).
[33]Gali, Jordi.“Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?”American Economic Review(march 1999),p249-271.
[34] Long, John B., and Plosser, Charles I.“Sectoral Versus Aggregate Shocks in the Business Cycle,”American Economic Review 70(1987), p333-336.
[35]Jordi Gali and Pau Rabanal.“Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Poster U.S. Data?”IMF Working Paper.
[36] Christiano, Lawrence J., and Terry Fitzgerald.“The Business Cycle: It’s Still a Puzzle.”Federal Reserve Bank of Chicago Economic Perspectives (Fourth Quarter 1998), p56-83.
[37] Hornstein, A. The business cycle and industry comovement. Federal Reserve Bank of Richmond Economic Quarterly, 86(2000), p27-48.
[38]Andreas Hornstein, Jack Praschnik. Intermediate inputs and sectoral comovement in the business cycle. Journal of Monetary Economics,40(1997),p573-595.
[39]Den Haan, W.J. The comovement between output and prices. Journal of Monetary economics,46(2000),p3-30.
[40]Shea and John.“Comovement in Cities,”Carnegie-Rochester Conference Series on Public Policy, 44(1996), p169-206.
[41]Shea and John.“Complementarities and Comovements,”Journal of Money, Credit and Banking, 34(2002), p412-433.
[42]Laura Veldkamp, Justin Wolfers.“Aggregate shocks or aggregate information? Costly information and business cycle comovement”Journal of Monetary Economics 54(2007),p37-55.
[43]Michael J. Lamla, Sarah M. Lein, and Jan-Egbert Sturm.“News and Sectoral Comovement”KOF Working Papers No.183(December 2007).