我国经济周期阶段性和波动性的动态计量研究
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摘要
我国经济正处于快速增长阶段,我国经济增长态势和经济周期波动也呈现出新的特征,经济运行也已经从“大起大落”型转变成“高位平缓”型,宏观经济调控取得了显著成效并积累了宝贵经验。本文采用动态计量方法对我国经济周期波动特征进行描述和检验,并寻求我国经济周期波动的重要“典型化事实”和经济政策启示。论文主要从以下四个方面展开研究:
首先,总结经济周期理论的发展过程及代表性学说以及现代宏观经济学中的主要经济周期理论,并介绍了经济周期理论的研究现状。分别对实际经济周期理论、货币经济周期理论(MBC模型)、政治经济周期理论(PBC模型)进行数理分析和推导。
其次,对经济周期趋势成分和波动成分的测度与划分方法进行介绍,这其中主要包括HP滤波、状态空间模型分解等。同时对我国产出序列的成分进行分解,并度量周期波动的持久性。
再次,对我国经济周期波动的阶段性进行检验和度量。介绍马尔可夫区制转移模型及其应用的扩展以及门限自回归模型,分别检验了两区制——三区制的门限自回归模型和马尔可夫区制转移模型。并应用小波分析方法在对我国经济周期波动进行测度,检验我国货币政策中的“托宾效应”。
最后,利用GARCH模型、Granger因果关系检验以及Plucking模型,对我国经济周期波动的非对称形态进行检验并分析其成因。
According to the economic histories around the world,every country has been through the economic fluctuation. The fluctuations in the business cycle will cause losses of national wealth,and the loss is as much as the degree of fluctuation. Although people can not erase the phenomenon of business cycle by themselves,people can mastery the rule of business cycle and avoid the degree of fluctuation and recession of economic thereby people can reduce the loss of national wealth.
By using the latest research and empirical results of the world, I sum up the character, measurement and analysis of the single variable and group variables of volatility. I analyzed and compared the latest theory, econometric model and method, examined their applicability of business cycle in our country. This thesis composed by:
(1) Summing up development process and representative's theory and the main theories in the modern macroeconomics of business cycle theories, and introduced the research present condition of business cycle theories. I carry through the mathematics analysis of the real business cycle (RBC model), monetary business cycle theories (MBC model), and political business cycle (PBC model) separately.
(2) Introducing the measurement of trend component and cycle component of time series, including HP filter, state space decomposition and so on. In the mean time, I decomposed the real production series of our country, and measured the durability of the volatility of business cycle.
(3) Carrying through examination and character to the phases of business cycle. I introduced the Markov switching model and threshold autoregressive model, examined the 2– 3 regimes of MS model and TAR model.
(4) I applied wavelet analysis to measure the volatility of business cycle of our country, and examined the“Tobin Effects”of our monetary policy.
(5) By using of GARCH model, Granger examination and Plucking model, I examine the asymmetry of business cycle of our country, and analyzed the causes of it.
According to the researching and analyzing of business cycle of our country, I draw conclusions as below:
(1) Analyzed the modern business cycle theories of various typical models under the frame of modern business cycle. I use the principles of neoclassical economics to research the volatility model of business cycle, and discuss the correction of RBC model based on the thought in explaining real economics more reasonable, including family affair in real business cycle theory and RBC model in non-walrasian economics. Secondly I introduce the MBC theories and model, including price confusing produced by money, cash-in-advance model and the development of MBC model. At last I construct the PBC model and derive the optimum path of inflation by using non-homogeneous differential equation method.
(2) Comparing and summing up the generous methods of volatility of measuring business cycle in researching business cycle. I decompose the trend component and cycle component of real production series of our country by using UC model and B-N decomposing method, I discovered some important“typical facts”in dynamic process of real production series of our country, I discovered the existence of trend component and cycle component in the real production series of our country and has great differences of duration of cycle, regardless make use of UC model, H-P filter, and B-N decomposing. The“Big cycle”length that the former acquired about 9 years, and then acquire of“small cycle”length be about 3 years. The main reason of the difference lies in the correlation of the trend component disturbance and the cycle component disturbance. If the length of“small cycle”closed to the realistic of business cycle of our country, this means that there are correlation of trend component and cycle component in volatility of China’s business cycle. In the examination and characterization in trend decomposition and durative of random shocks of our country, I discovered not only the significant existence of cycle component and trend component, but also the durative of random shocks. This means weather positive shocks or negative shocks in aggregate demand, these effects of shocks in real production have durative. This is the important reason that there is durative of volatility of business cycle in our country.
(3) I partitioned and examined the phases of volatility of China’s business cycle through Markov switching model and threshold autoregressive model, I discovered that there appears the rule of high-speed-growth, medium-speed-growth and low-speed-growth in China’s economic growth. From 1991 to 2003, the economic growth presented integrity cycle volatility, the cycle length is about 13 years. From low-speed-growth turning into medium-speed-growth which was beginning from 1st quarter in 1991, to high-speed-growth which from 4th quarter in 1994, it came to the peek point in the first two quarters in 1993, then came into“soft landing”that lasted 5 years. In this period, the economic had been through medium-speed-growth period from 2nd quarter in 1996 to 4th quarter in 1997, and it had been through low-speed-growth period that lasted 5 years from 1st quarter in 1998 to first two quarters in 2002. The economic had been in climbing situation from 3rd and 4th quarter in 2002, and came into high-speed-growth period in 1st quarter 2005. We can see from transition probabilities that China’s economic has the steadiest situation and the longest duration in“medium-speed-growth period”, the probability of business cycle turning into this period is max. In the mean time, China’s business cycle has asymmetry that described by not only the difference of duration of cycle phase but also the difference of transition probability of cycle phase. The length of duration of“medium-speed-growth period”is 5 times then the length of other two periods. This means“medium-speed-growth”is the main representative character. In all regimes, the durative is more then the degree of transition both in“medium-speed-growth period”and“high-speed-growth period”(the duration probability are 94.9% and 63.7% and the transition probability are 5.1% and 36.2% in this two regimes), this means that it will come into being some sort of“trap effect”in this two periods. Considering the transition probability is more then duration probability in“high-speed-growth period”(transition probability is 74.9%, duration probability is 25.1%), this means that there will be recession risk if the economic come into“high-speed-growth period”, we should notice that in case the high volatility of economic.
(4) Based on wavelet analysis method, I decomposed the time series in different time scales, examined typical facts of the correlation between the inflation and economic growth, and revealed some characters of China’s economic. It appeared that the correlation is positive in most time scales except d1 and d2 time scales by using regressive analysis of wavelet domain and wavelet correlation analysis. I discovered that there is positive correlation between inflation and economic growth in the long run which is drew conclusion from wavelet correlation analysis. It can be seen that there is significant“Tobin effect”in China’s economic because there are significant positive correlation between inflation and industry growth rate. This means that price level had significant effect in real production, also means the validity of monetary policy indirectly. Therefore we can consider positive monetary policy in the situation of stable aggregate demand, and promote rapid growth of economic by inducing inflation.
(5) By examined influence relation between economic growth and inflation and Plucking model, I researched the asymmetry of China’s business cycle, and discovered that: It came into being“loss effect”in the level that the real production growth rate and volatility of inflation, which means indetermination of production and price behavior cause the negative effect. There is upper limit of production trend came from“plucking effect”in China’s real production series, this upper limit of trend corresponded to potential production level. There are difference between the upper limit of trend of real production growth rate and natural growth rate, the former corresponding the production level under the full use of economic resource (even excessive use), the later corresponding production level under proper growth rate (effective usage of economic resources). There is asymmetry in China’s business cycle, and it appears different patterns of business cycle, such as“rapid growth and rapid recession”,“proper growth and proper recession”,“rapid growth and proper recession”and“proper growth and rapid recession”. These patterns had related to the degree of volatility in expanding phase and recession phase. I discovered that the volatility is higher then other period in recession period of China’s business cycle, and this volatility produced“Plucking effects”and“overflow effects”on economic growth. In the normal growth process, it will be in sufficient situation of supply in essentials and techniques if real production is lower then trend level significantly, it will enlarge the market demand that if positive economic policy is proceeded in this situation, and it will be expanding effects in production. This will raise the economic growth rate and come into being significant economic fluctuation in short term.
首先,总结经济周期理论的发展过程及代表性学说以及现代宏观经济学中的主要经济周期理论,并介绍了经济周期理论的研究现状。分别对实际经济周期理论、货币经济周期理论(MBC模型)、政治经济周期理论(PBC模型)进行数理分析和推导。
其次,对经济周期趋势成分和波动成分的测度与划分方法进行介绍,这其中主要包括HP滤波、状态空间模型分解等。同时对我国产出序列的成分进行分解,并度量周期波动的持久性。
再次,对我国经济周期波动的阶段性进行检验和度量。介绍马尔可夫区制转移模型及其应用的扩展以及门限自回归模型,分别检验了两区制——三区制的门限自回归模型和马尔可夫区制转移模型。并应用小波分析方法在对我国经济周期波动进行测度,检验我国货币政策中的“托宾效应”。
最后,利用GARCH模型、Granger因果关系检验以及Plucking模型,对我国经济周期波动的非对称形态进行检验并分析其成因。
According to the economic histories around the world,every country has been through the economic fluctuation. The fluctuations in the business cycle will cause losses of national wealth,and the loss is as much as the degree of fluctuation. Although people can not erase the phenomenon of business cycle by themselves,people can mastery the rule of business cycle and avoid the degree of fluctuation and recession of economic thereby people can reduce the loss of national wealth.
By using the latest research and empirical results of the world, I sum up the character, measurement and analysis of the single variable and group variables of volatility. I analyzed and compared the latest theory, econometric model and method, examined their applicability of business cycle in our country. This thesis composed by:
(1) Summing up development process and representative's theory and the main theories in the modern macroeconomics of business cycle theories, and introduced the research present condition of business cycle theories. I carry through the mathematics analysis of the real business cycle (RBC model), monetary business cycle theories (MBC model), and political business cycle (PBC model) separately.
(2) Introducing the measurement of trend component and cycle component of time series, including HP filter, state space decomposition and so on. In the mean time, I decomposed the real production series of our country, and measured the durability of the volatility of business cycle.
(3) Carrying through examination and character to the phases of business cycle. I introduced the Markov switching model and threshold autoregressive model, examined the 2– 3 regimes of MS model and TAR model.
(4) I applied wavelet analysis to measure the volatility of business cycle of our country, and examined the“Tobin Effects”of our monetary policy.
(5) By using of GARCH model, Granger examination and Plucking model, I examine the asymmetry of business cycle of our country, and analyzed the causes of it.
According to the researching and analyzing of business cycle of our country, I draw conclusions as below:
(1) Analyzed the modern business cycle theories of various typical models under the frame of modern business cycle. I use the principles of neoclassical economics to research the volatility model of business cycle, and discuss the correction of RBC model based on the thought in explaining real economics more reasonable, including family affair in real business cycle theory and RBC model in non-walrasian economics. Secondly I introduce the MBC theories and model, including price confusing produced by money, cash-in-advance model and the development of MBC model. At last I construct the PBC model and derive the optimum path of inflation by using non-homogeneous differential equation method.
(2) Comparing and summing up the generous methods of volatility of measuring business cycle in researching business cycle. I decompose the trend component and cycle component of real production series of our country by using UC model and B-N decomposing method, I discovered some important“typical facts”in dynamic process of real production series of our country, I discovered the existence of trend component and cycle component in the real production series of our country and has great differences of duration of cycle, regardless make use of UC model, H-P filter, and B-N decomposing. The“Big cycle”length that the former acquired about 9 years, and then acquire of“small cycle”length be about 3 years. The main reason of the difference lies in the correlation of the trend component disturbance and the cycle component disturbance. If the length of“small cycle”closed to the realistic of business cycle of our country, this means that there are correlation of trend component and cycle component in volatility of China’s business cycle. In the examination and characterization in trend decomposition and durative of random shocks of our country, I discovered not only the significant existence of cycle component and trend component, but also the durative of random shocks. This means weather positive shocks or negative shocks in aggregate demand, these effects of shocks in real production have durative. This is the important reason that there is durative of volatility of business cycle in our country.
(3) I partitioned and examined the phases of volatility of China’s business cycle through Markov switching model and threshold autoregressive model, I discovered that there appears the rule of high-speed-growth, medium-speed-growth and low-speed-growth in China’s economic growth. From 1991 to 2003, the economic growth presented integrity cycle volatility, the cycle length is about 13 years. From low-speed-growth turning into medium-speed-growth which was beginning from 1st quarter in 1991, to high-speed-growth which from 4th quarter in 1994, it came to the peek point in the first two quarters in 1993, then came into“soft landing”that lasted 5 years. In this period, the economic had been through medium-speed-growth period from 2nd quarter in 1996 to 4th quarter in 1997, and it had been through low-speed-growth period that lasted 5 years from 1st quarter in 1998 to first two quarters in 2002. The economic had been in climbing situation from 3rd and 4th quarter in 2002, and came into high-speed-growth period in 1st quarter 2005. We can see from transition probabilities that China’s economic has the steadiest situation and the longest duration in“medium-speed-growth period”, the probability of business cycle turning into this period is max. In the mean time, China’s business cycle has asymmetry that described by not only the difference of duration of cycle phase but also the difference of transition probability of cycle phase. The length of duration of“medium-speed-growth period”is 5 times then the length of other two periods. This means“medium-speed-growth”is the main representative character. In all regimes, the durative is more then the degree of transition both in“medium-speed-growth period”and“high-speed-growth period”(the duration probability are 94.9% and 63.7% and the transition probability are 5.1% and 36.2% in this two regimes), this means that it will come into being some sort of“trap effect”in this two periods. Considering the transition probability is more then duration probability in“high-speed-growth period”(transition probability is 74.9%, duration probability is 25.1%), this means that there will be recession risk if the economic come into“high-speed-growth period”, we should notice that in case the high volatility of economic.
(4) Based on wavelet analysis method, I decomposed the time series in different time scales, examined typical facts of the correlation between the inflation and economic growth, and revealed some characters of China’s economic. It appeared that the correlation is positive in most time scales except d1 and d2 time scales by using regressive analysis of wavelet domain and wavelet correlation analysis. I discovered that there is positive correlation between inflation and economic growth in the long run which is drew conclusion from wavelet correlation analysis. It can be seen that there is significant“Tobin effect”in China’s economic because there are significant positive correlation between inflation and industry growth rate. This means that price level had significant effect in real production, also means the validity of monetary policy indirectly. Therefore we can consider positive monetary policy in the situation of stable aggregate demand, and promote rapid growth of economic by inducing inflation.
(5) By examined influence relation between economic growth and inflation and Plucking model, I researched the asymmetry of China’s business cycle, and discovered that: It came into being“loss effect”in the level that the real production growth rate and volatility of inflation, which means indetermination of production and price behavior cause the negative effect. There is upper limit of production trend came from“plucking effect”in China’s real production series, this upper limit of trend corresponded to potential production level. There are difference between the upper limit of trend of real production growth rate and natural growth rate, the former corresponding the production level under the full use of economic resource (even excessive use), the later corresponding production level under proper growth rate (effective usage of economic resources). There is asymmetry in China’s business cycle, and it appears different patterns of business cycle, such as“rapid growth and rapid recession”,“proper growth and proper recession”,“rapid growth and proper recession”and“proper growth and rapid recession”. These patterns had related to the degree of volatility in expanding phase and recession phase. I discovered that the volatility is higher then other period in recession period of China’s business cycle, and this volatility produced“Plucking effects”and“overflow effects”on economic growth. In the normal growth process, it will be in sufficient situation of supply in essentials and techniques if real production is lower then trend level significantly, it will enlarge the market demand that if positive economic policy is proceeded in this situation, and it will be expanding effects in production. This will raise the economic growth rate and come into being significant economic fluctuation in short term.
引文
① Say 的《政治经济论述》出版于 1803 年,中译本出版于 1963 年,本文参考中译本。
② Hume 的《政治论文集》出版于 1752 年,中译本出版于 2003 年,本文参考中译本。
④ Hobson 的《分配经济学》和《帝国主义:研究》分别出版于 1900 年和 1902 年,中译本分别出版于 1969 年和 1964 年,本文参考中译本。
⑤ Keynes 的《就业、利息和货币通论》出版于 1936 年,中译本出版于 1987 年,本文参考中译本。
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