| 王少平,孙晓涛.BN周期成分的符号与我国GDP的真实周期[J].数量经济技术经济研究,2013,30(4):46-56 | | BN周期成分的符号与我国GDP的真实周期 | | The Sign of BN Cycle Component and the Real Cycle of Chinese GDP | | | | DOI： | | 中文关键词: BN分解 周期反号 持久性 方差比 | | 英文关键词: BN Decomposition Sign Reversion Persistence Variance Ratio | | 基金项目: | | | 中文摘要: | | 本文从理论上证明了以下的定理：当度量序列持久性的方差比大于1时，BN周期成分的符号应予反号，否则，不予反号。为验证定理，我们设计Monter-Carlo仿真实验，其结果也证实了理论定理。本文的理论结论和仿真结果，第一次从持久性的角度解释了文献中的“周期之谜”。在此基础上，我们应用BN周期分解方法和本文的理论结果，分解我国GDP的BN周期。结果显示，由于我国GDP的方差比为1.97，所以周期成分的符号应反号，由此形成我国GDP的真实周期。样本期内（2000Q2-2011Q4）我国共经历了六轮周期，这六轮周期不仅与我国实际经济增长的波动基本一致，而且与我国所遭遇的主要冲击相吻合；我国经济增长的周期具有波动幅度较大、持续时间又存在明显差异的特征。基于这些特征，本文认为，减弱我国经济增长的周期性波动，应成为宏观调控的重要内容。 | | 英文摘要: | | This paper investigates the sign of BN cycle component from the perspective of the persistence, and theoretically proves the following Theorem: When the variance ratio measuring the persistence of an I(1) series is greater than one, the sign of the BN cycle component should be reversed. The Monte-Carlo simulations of this paper also verifies the theorem . The theoretical conclusion and simulation results firstly explain the “cycle puzzle” of Nelson (2008). We decompose the BN cycle for Chinese GDP, decomposition results show that the variance ratio of Chinese GDP is 1.97, the cycle component should be reversed to form the real cycle of Chinese GDP. In the sample period (2000Q2-2011Q4), there are six cycles, and these cycles are not only consistent with Chinese real economic fluctuations on the whole, but also coincident with the main shocks; the cycles have high fluctuations and different durations. Based on these features, we suggests that weakening Chinese economic fluctuations should be one of the major content for Chinese macroeconomic policies. | | 查看全文 |
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