中国经济周期条件波动性特征的统计分析  

Statistical Analysis on the Conditional Fluctuation Characteristics of Chinese Business Cycle

作　　者：曾五一[1] 张立[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《统计与信息论坛》2010年第3期27-32,共6页Journal of Statistics and Information

摘　　要：在ARCH族模型动态地刻画了中国经济周期的条件波动性特征的基础上,分析了有关经济变量的波动机制、波动率对经济变量条件均值的影响程度与方向以及经济变量在扩张阶段和紧缩阶段波动力度差异等问题。得出以下主要结论:中国经济周期波动具有条件异方差性、持续性和非对称性的特征;经济的稳定有利于经济产出的持续增长;财政政策具有稳定经济、促进经济产出增长率提高的效应,而且这种效应具有一定的持续性与滞后性;国外需求受国内经济影响较小,具有其自身的发展规律。Based on the ARCH family models, the paper describes the conditional fluctuation characteristics of Chinese business cycle dynamically, and analyzes the fluctuation mechanisms of the economic variables and the impacts on conditional means which their volatility make, as well as the differences of volatility intensity between the stages of expansion and contraction. The paper draws the main conclusions as follows： Chinese business cycle is characterized with conditional heteroskedastieity, continuity and non- symmetry; the stability of economic promotes the growth rate of eeonomie output; finaneial policy has the positive effects on promoting the growth rate of economic output but this effect has a certain continuity and lagging nature; foreign demand has its own development law, which was less affected by the domestic economy.

关 键 词：经济周期 条件波动性 ARCH族模型 

分 类 号：F224.0[经济管理—国民经济]