中国潜在产出估算模型的设计与应用——基于Kalman滤波的实证分析  

Design and Applications of Chinese Potential Output Estimation Model——An Empirical Analysis Based on Kalman Filtering

作　　者：王子博[1] 

机构地区：[1]中国进出口银行经济研究部,北京100031

出　　处：《统计与信息论坛》2012年第1期27-32,共6页Journal of Statistics and Information

摘　　要：在传统滤波法仅对实际GDP变量进行趋势和周期成分分解的基础上,从中国国情出发,考虑国际联系、货币政策、通货膨胀预期等影响因素,构建多参数动态系统模型进行Kalman滤波,估算中国1978-2009年潜在产出、产出缺口、潜在产出增长率及均衡增长率。在此基础上,讨论模型在中国经济周期阶段划分、长期增长趋势与可接受增长区间及拐点预测等方面的应用,为制定经济政策提供参考依据。Other than traditional filtering that only decomposes the real GDP into components of trend and cycle, the dynamic multi--factors econometrics model built up in this paper. Based on conditions of Chinese socialist market economic system with the consideration of factors on international trade, monetary policy and expectations of inflation, can be used to estimate Chinese potential output, output gap, growth rate of potential output and equilibrium growth rate during year 1978 to 2009 via Kalman Filtering. The paper have discussed in the fields of the phases of business cycle, the long--term growth tendency, acceptable growth interval and economic forecast by using the above model.

关 键 词：潜在产出 多参数动态系统模型Kalman滤波 经济周期预测 

分 类 号：F222[经济管理—国民经济]