金砖国家经济周期协同性及其传导机制  

Business Cycle Synchronization and its Transmission Mechanism in BRICS

作　　者：陈磊[1] 张军[2] 

机构地区：[1]东北财经大学经济学院 [2]上海财经大学经济学院

出　　处：《数量经济技术经济研究》2017年第3期95-111,共17页Journal of Quantitative & Technological Economics

基　　金：国家社科基金重大项目(15ZDA011);国家自然科学基金项目(71173029);辽宁省特聘教授项目(2012)的资助

摘　　要：研究目标:测度金砖国家经济周期协同性并探究其传导机制。研究方法:运用Scalar-BEKK模型测算1996年第2季度以来金砖国家经济周期协同性的动态演化路径,并采用面板联立方程模型考察金砖国家经济周期协同性的传导机制。研究发现:金砖各国经济周期波动总体上存在一定的偏弱协同性,且协同性具有显著的时变特征。双边贸易强度、金融一体化、专业化分工、汇率波动性是影响金砖国家经济周期协同性的重要渠道,但其影响机制有所差异。各传导渠道对金砖国家经济周期协同性同时产生直接影响和间接影响,且各传导渠道的相对重要性有所不同。研究创新:在时变框架下测算金砖国家经济周期协同性,基于面板联立方程模型刻画协同性与各传导渠道之间复杂的经济关联。研究价值:为金砖国家区域经济政策的制定和实施提供重要参考。Research Objectives： Measuring business cycle synchronization and investigating its transmission mechanism in BRICS. Research Methods： Employing a Scalar-BEKK model, this paper firstly measures business cycle synchronization in BRICS since 1996Q2 from a dynamic perspective, and then investigates the transmission mechanism of business cycle synchronization by panel simultaneous equations model. Research Findings： The results show that weak synchronizations of business cycle fluctuations among BRICS are verified, but with significantly time-varying characteristics. Bilateral trade intensity, financial integration, specialization and exchange rate volatility play important roles in business cycle synchronization, but their impact mechanisms vary a lot. Furthermore, each transmission channel not only can exert direct effect on business cycle synchronization, but can exert indirect effect. Besides, the relative importance of each transmission channel is different. Research Innovations： To measure business cycle synchronization under a time-varying framework and investigate complex economic relations between business cycle synchronization and its transmission channels by panel simultaneous equations model. Research Values： Providing an important reference for the current formulation and implementation of regional economic policy in BRICS.

关 键 词：金砖国家 Scalar-BEKK模型 经济周期 联立方程 传导机制 

分 类 号：F114.46[经济管理—国际贸易]