政府消费与经济增长——基于MS-VECM的实证研究  

Government Consumption and Economic Growth:An Empirical Study Based on MS-VECM

作　　者：陈建宝[1,2,3] 禚铸瑶 卢睿[3] 

机构地区：[1]福建师范大学数学与计算机科学学院,福建福州350117 [2]厦门大学宏观经济研究中心,福建厦门361005 [3]厦门大学经济学院统计系,福建厦门361005

出　　处：《数理统计与管理》2017年第1期18-28,共11页Journal of Applied Statistics and Management

基　　金：教育部人文社会科学重点研究基地重大项目(15JJD790029);教育部人文社会科学项目(13YJA9100002);国家自然科学基金项目(71503220)的部分研究成果

摘　　要：基于1965-2012年我国政府消费与GDP的年度数据,检验两者间的短期波动模式与长期均衡关系,并利用马尔科夫转移向量误差修正模型(MS-VECM),考察不同区制下两者间的相关关系。研究结果表明:政府消费与经济增长间长期存在着互相制约的稳定均衡关系;政府消费与经济增长的协同变动表现为三个区制状态;区制内相关关系表现各异,区制间持续期和转移概率差异较大。Based on the data set of government consumption and GDP from 1965 to 2012, the short- term fluctuation pattern and long-term equilibrium relationship between them are tested, the vector error corrected model with Markov regime switching is used to investigate the relationships between them in different regimes. The research results are summarized as follows： （1） the government consumption and economic growth have a long-term equilibrium relationship and possess internal restriction mechanism and adjustment mechanism; （2） the government consumption and economic growth in China can be obviously divided into three regimes and possess different correlations with each other; （3） there are large differences in the durations and transition probabilities between different regimes.

关 键 词：政府消费 经济增长 MS-VECM 

分 类 号：F811.4[经济管理—财政学] O212[理学—概率论与数理统计]