具有Markov区制转移的向量误差修正模型及其应用  

Vector error correct model with Markov regime switching and its applications

作　　者：刘金全[1] 刘志刚[1] 

机构地区：[1]吉林大学数量经济研究中心,长春130012

出　　处：《管理科学学报》2006年第5期44-49,共6页Journal of Management Sciences in China

基　　金：国家社会科学基金资助项目(02BJY019);教育部重大资助项目(02JAZJD790007)

摘　　要：使用具有Markov区制转移的向量误差修正模型,描述和检验了我国经济周期波动过程中产出和价格水平之间的长期均衡关系和短期波动模式.检验结果表明,我国经济增长率与通货膨胀率之间的影响与替代关系具有依赖经济周期阶段性的“门限性质”,经济周期波动也具有一定程度的非对称性.我国经济周期波动已经呈现出稳定性继续增强、持续期逐渐加长、价格粘性开始降低等重要特征,文章的实证结果将为正确选择经济政策组合方式和实施有效经济调控提供依据.By using the vector error correct model with Markov regime switching to test the equilibrium relationship in the long run and the fluctuation pattern in short run in the real output and inflation, we find that there are the threshold effects among the substitutions and impacts between growth and inflation in China＇ s business cycle, which is asymmetry to some degrees. The empirical evidences also show that the fluctuations have become stable, the duration has been more longer, and the price stickiness has been decreased. These findings are very important to detennine the combinations of economic policies and implementing of macroeconomic controls.

关 键 词：经济周期 区制转移模型 向量误差修正模型 

分 类 号：F224.0[经济管理—国民经济]