双重视角下的中国经济周期混频测度  

Measurement of China's Business Cycle with Mixed-frequency Data Based on Dual Perspectives

作　　者：陈磊[1] 孟勇刚[1] 王艺枞 Chen Lei;Meng Yonggang;Wang Yicong

机构地区：[1]东北财经大学经济学院

出　　处：《统计研究》2018年第9期29-39,共11页Statistical Research

基　　金：国家社会科学基金重大项目"新常态下我国宏观经济监测和预测研究"(15ZDA011)的资助

摘　　要：本文同时在混频动态因子模型截距和方差项引入马尔科夫区制转换过程,从经济增长速度和波动强度的双重角度对我国经济周期不同阶段间的运行特征进行详细考察。研究表明,我国经济周期呈现出明显不同的阶段性特征;不同状态间的转移概率存在非对称性;新常态背景下经济运行继续保持微波化的平稳运行态势是大概率事件。此外,本文提取的一致景气指数与我国实际季度GDP增长率的走势基本一致,能较为准确地反映各个时期的经济形势。This paper integrates Markov-Switching dynamics into the intercept and variance of the mixed frequency dynamic factor model. A detailed study is conducted to analyze the characteristics of the business cycles during different economic periods in China from both perspectives of the economic growth rate and economic fluctuation. It shows that Chinese business cycles have distinct phase characteristics. There is an asymmetry in the transition probability between different states. In the context of the new normal economy,there is a high probability to keep the economy running smooth with a narrowing volatility. Besides,there is a basic consistency existing between the coincident index extracted in this paper and the quarterly GDP growth rate,which could reflect the economic conditions in different phases more accurately.

关 键 词：混频数据 动态因子模型 马尔科夫区制转换 经济周期 

分 类 号：C812[社会学—统计学]