| 利用多变量马尔科夫转移因子模型对我国经济周期波动的经验研究 |
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| 引用本文： | 石柱鲜,刘俊生,吴泰岳.利用多变量马尔科夫转移因子模型对我国经济周期波动的经验研究[J].数理统计与管理,2007,26(5):821-829. |
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| 作者姓名： | 石柱鲜 刘俊生 吴泰岳 |
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| 作者单位： | 1. 吉林大学数量经济研究中心,长春,130012
2. 吉林大学商学院,长春,130012 |
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| 基金项目： | 高等学校博士学科点专项科研项目;教育部人文社会科学研究基地基金 |
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| 摘 要： | 本文应用多变量动态马尔科丈转移因子模型对我国1991年1月以来的经济周期波动进行研究。通过选取两组与经济景气一致的宏观经济指标进行实证分析,结果表明多变量动态马尔科夫转移因子模型对不同组指标的分析是一致的;根据模型所构造出的景气指数与一致合成指数的对比分析,我们发现这两个指数不论从变动趋势和峰谷转折点,还是波动幅度上都极其相似;通过对经济周期转折点测定,并与我国经济运行状况对比,我们认为用多变量动态马尔科夫转移因子模型刻画经济周期的特征是有效的。
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| 关 键 词： | 经济周期 协同运动 非对称性 局面转移模型 动态因子模型 |
| 文章编号： | 1002-1566（2007）05-0821-09 |
| 修稿时间： | 2006-04-21 |
The Empirical Research for Business Cycle In China Using the Multivariate Markov Regime-switching Model |
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| SHI Zhu-xian,LIU Jun-sheng,WU Tai-yue.The Empirical Research for Business Cycle In China Using the Multivariate Markov Regime-switching Model[J].Application of Statistics and Management,2007,26(5):821-829. |
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| Authors: | SHI Zhu-xian LIU Jun-sheng WU Tai-yue |
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| Affiliation: | 1. Jilin University Quantitative Research Center of Economics, Changchun, 130012, China; 2. Business School of Jilin University, Changchun, 130012, China |
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| Abstract: | In this paper a dynamic factor model with Markov-switching is developed to investigate business cycle in China since 1991.After empirical analysis of two groups of macroeconomic indicators that are consistent with economic cycle,we find that multivariate dynamic factor model with Markov-switching is consistent in analyzing different groups of indicators;by comparing cycle index developed from model to coincident composite index,we finds that these two indexes are very similar in trend,turning points and level of fluctuation.Measuring the turning-point and comparing economic running-status,we conclude that applying the multivariate Markov regime-switching model to business cycle researches in China is a success. |
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| Keywords: | business cycle co-movement asymmetry regime-switching model dynamic factor model |
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