中国经济周期的非对称性

笔者采用Clements和Krolzig参数检验方法,利用我国1979年第1季度～2009年第4季度实际季度GDP增长率数据,对我国经济周期的深度、尖度及陡度型非对称、经济周期的划分以及持续性等特征进行实证分析.结果表明,我国经济周期具有陡度型非对称特征,但并不具备深度型和尖度型非对称特征;我国经济从低速增长状态转移到高速增长状态的可能性较大,远远大于经济从低速增长状态转移到适速增长状态的可能性;经济处于适速增长阶段的持续性最高,处于高速增长阶段的持续性次之,而低速阶段持续性最低,且它具有一定的惰性但又具有较高的概率转向高速增长阶段.     

人民币汇率、 FDI和经济增长的非对称关系研究

汇率变动影响经济增长的传导机制是多方面的,本文利用Markov区制转移向量自回归模型识别中国经济变化的不同阶段、估计区制之间的转换概率和度量各阶段的持续性,以此考察汇率改革以来人民币汇率和经济增长变动的非对称性形态,并在此基础上检验人民币汇率变动影响经济增长的非线性动态行为。研究表明,人民币汇率变动对经济增长影响的方向和强度不仅依赖其变动,而且依赖经济周期的具体阶段,结合汇率政策和经济政策来判断区制转移和区制中的政策效果将有较好的参考价值。     

我国货币—产出非对称影响关系的实证研究

货币与产出之间的非对称影响关系研究,近年来在宏观经济学领域受到了广泛的关注。本文运用平滑迁移向量误差修正(STVECM)模型,对1989—2007年我国货币与产出之间是否存在非对称影响关系展开实证分析。引入年产出增长率、年货币增长率以及年通货膨胀率的年度变化作为转移变量,线性检验表明我国货币、产出和价格系统存在显著的非线性;通过模型估计识别了我国货币—产出关系的经济和/或政策状态相依性;运用非线性Granger因果关系检验进一步证明了两者之间是一种非对称关系。概括来说,我国货币对产出的影响关系具有明显的非对称性,其依赖于经济周期的高速增长和低速增长阶段、货币供给的高速增长和低速增长阶段以及通货膨胀率的加速和减速阶段。     

人民币汇率变动的非线性经济增长效应分析

本文选择贸易作为主要传导机制,利用Markov区制转移模型识别我国经济变化的不同阶段、估计区制之间的转换概率和度量各阶段的持续性,以此考察汇改以来人民币实际有效汇率和经济增长变动的非线性特征,并在此基础上检验汇率变动影响经济增长的非线性动态行为。研究表明,人民币汇率对经济增长影响的方向和强度不仅依赖其变动,而且依赖经济周期的具体阶段,这对于政府识别汇率变动的不同区制进而实行宏观调控具有重要的参考价值。     

中国内地与香港经济周期的区制状态及协同性分析

笔者运用Markov区制转移模型,对中国内地与香港经济周期的区制状态以及两地经济周期的协同性进行了检验.结果显示:一方面,中国内地与香港经济周期均存在显著的三区制性质,即经济周期可划分为"低速"、"适速"和"高速"增长区制;另一方面,中国内地与香港经济周期的协同性水平偏低,并且存在依赖于区制状态的"门限性质",即在不同的经济周期区制内呈现出不同的协同性水平.     

中国电力周期与经济周期的协同性——基于Markov区制转移模型

采用1978—2015年中国电力消费和国内生产总值的年度数据,基于"三区制"马尔科夫区制转移模型,研究了电力消费和经济增长的动态转变过程,识别和划分了改革开放后中国电力周期和经济周期的阶段,并分析了两者在不同阶段的协同性。结果表明:电力周期和经济周期均具有低速增长期、稳定增长期和高速增长期三个区制转移特征;电力消费在低速增长期和高速增长期的波动性明显高于GDP,而在稳定增长期的波动性则显著小于GDP;20世纪80年代中期以前,是电力周期和经济周期的静态协同期;20世纪80年代中后期,两者处于非协同期;之后,两者处于显著的跨区制动态协同期,且处于协同期的电力周期与经济周期在时间上表现出较高的一致性。     

我国经济周期波动的非对称性和持续性研究

经济的发展存在周期性的特点,同时经济周期波动呈现出非对称性与持续性,本文将对我国经济周期波动的非对称性和持续性展开研究,旨在促进我国经济的稳步发展。     

我国实际产出序列非对称性和非线性特征的统计检验——基于时域形变模型的检验分析

实际产出序列的非对称性和非线性是经济周期波动的重要动态特征。本文利用时间序列的时域形变检验方法分析我国实际产出序列。研究发现:我国实际产出序列存在一定程度的非对称性和非线性;我国实际产出序列的扩张过程无论是在幅度方面还是持续性方面均强于紧缩过程。这意味着现阶段我国经济增长具有高位持续的趋势,本轮经济周期将形成高位底部并具有拖长的倾向。     

中国经济周期的非对称性问题研究

经济周期的非对称性对于经济周期的研究具有非常重要的意义.文章利用HP滤波和时间趋势剔除技术对中国主要宏观经济变量的对数序列(季度)进行了长期趋势的剥离,得到了反映中国经济周期性波动的周期成分;区分了关于经济周期的两种类型的非对称:深度型(DEEP)非对称和陡峭型(STEEP)非对称;利用Sichel(1993)提出的对经济周期非对称性的检验方法,对中国的主要宏观经济变量进行了非对称性的检验,结果发现了实际GDP(对数)等经济变量中周期性非对称的证据.实际GDP(对数)序列出现周期性非对称的原因是多方面的,实证研究表明价格在经济周期的不同阶段表现出了非对称性调整,而价格的非对称性调整会导致对社会资源的非对称配置,进而导致经济周期的非对称性.     

世界经济周期演化特征及其对中国经济的非对称性影响:基于多国经济周期框架下的实证研究

本文采用带马尔科夫区制转换的VECM模型在多国经济框架下有效地识别和分析了从1991年至2008年世界经济周期的演化特征,进而研究了世界经济周期演化对中国经济的非对称影响。实证结果显示,世界经济在"经济增长"阶段的持续性要强于"经济衰退"阶段,世界经济由"经济衰退"转向"经济增长"的概率为0.34,而由"经济增长"向"经济衰退"转换的概率为0.16。世界经济周期的转换一般是在一个季度以后,对中国经济的影响程度最深,进而经过七个季度后影响逐渐消失;对此,当期中国经济增长率将做出不同程度的反应,如果世界经济是由"经济增长"向"经济衰退"阶段转换时,那么中国经济增长率将下降0.1个百分点。同时本文还发现,中国经济与世界经济的联系主要依靠贸易渠道,而且中国经济对各国经济冲击的反应普遍存在着非对称性。最后,本文提出了相应的政策启示。     

通货膨胀率周期波动与非线性动态调整

本文运用MRSTAR模型研究我国通货膨胀率的周期阶段划分、通胀率周期波动的非线性和非对称性动态特征,通胀率不同阶段相互转移的路径及其内在机理。实证研究表明,我国通货膨胀率波动可以划分为通货紧缩、通缩恢复、温和通胀以及严重通胀四个阶段,通胀率波动不同阶段的划分不仅依赖于通胀率的水平,也依赖于通胀率的增加量;在一个波动周期内,通胀率不同阶段的典型转移路径为:通货紧缩→温和通胀→严重通胀→温和通胀→通货紧缩;我国通货紧缩与温和通胀持续时间较长,而严重通胀持续时间很短;冲击对通胀率系统不具有持久性影响,正向冲击与负向冲击的影响具有非对称特征。     

Capital requirements and business cycles with credit market imperfections

The business cycle effects of bank capital regulatory regimes are examined in a New Keynesian model with credit market imperfections and a cost channel of monetary policy. Bank capital increases incentives for banks to monitor borrowers, thereby raising the repayment probability, and excess capital generates benefits in terms of reduced regulatory scrutiny. Basel I- and Basel II-type regulatory regimes are defined, and the model is calibrated for a middle-income country. Simulations of a supply shock show that, depending on the elasticity that relates the repayment probability to the bank capital–loan ratio, the Basel II regime may be less procyclical than a Basel I regime.     

Further evidence on business cycle asymmetries in G7 countries

This paper tests for business cycle symmetry in G7 countries during the post-World War II period using a number of tests, each reflecting alternative definitions of business cycle asymmetry. The tests are applied to monthly coincident economic indicators of business cycles. This found that business cycles in the US are characterized by both longitudinal (deepness) and transversal (steepness and sharpness) asymmetries: further, it is found that asymmetric transition probabilties and time irreversibility are due to nonlinearities. On the contrary, business cycles in Germany exhibits a symmetric behaviour. Between these extremes are the other countries, for which at least one of the tests here considered rejects the null of cyclical symmetry. Particularly, business cycle is characterized by deepness and sharpness in Canada, asymmetry in persistence in France and Japan, and asymmetric transition probabilities in France and United Kingdom.     

Interpreting fluctuations in output growth in China

Unlike in OECD countries, fluctuations in output growth in China are not straightforward in their interpretation. On the one hand, they reflect the business cycle, which results from shocks to aggregate demand. On the other hand, they also reflect the structural transformations that have accompanied China’s transition to a market economy. Demand shocks can be identified by virtue of the persistence of their impact. This paper decomposes the variance in provincial, regional, and national output growth according to its persistence characteristics. The results suggest that during the reform period, only a minority of output growth variance can be attributed to demand shocks and business cycle fluctuations. It is also found that there is substantial heterogeneity in the persistence characteristics of output growth across provinces. Implications of the findings for macroeconomic policy are discussed.     

On testing for symmetry in business cycles

Business cycle forecasting has become an important part of short and medium term economic planning. Such forecasting, however, is often very intricate, as business cycles are not at all periodic, just recurrent. Furthermore, they often include irregular timing and varying amplitudes. When patterns and relationships are very irregular there are no simple reliable business cycle forecasting procedures. In practice there is, somewhere, a limit for business cycle predictability, and it is often worthwhile to examine empirically the various theoretical regularity assumptions. One important regularity issue concerns the business cycle symmetry assumption. The present paper empirically tests the hypothesis of symmetry around business cycle turning points in some economic time series. Two test procedures are applied. One is based on the analysis of transition probabilities between expansion and recession regimes. The second procedure tests symmetry versus asymmetry through skewness statistics. The analysis is based on detrending through the use of linear deterministic trends as well as by Beveridge-Nelson decompositions.     

Nonlinear models,composite longer leading indicator and forecasts for UK real GDP

This paper examines the role of the Office for National Statistics Composite Longer Leading Indicator, in nonlinear business cycle models for growth rates of UK real gross domestic product (GDP). These models are of the smooth transition regression class, with the transition between “regimes” expressed as functions of lagged changes in the leading indicator. In general, evidence is found of business cycle regime asymmetries, with increases and decreases in the leading indicator implying distinct responses for the dependent variable. Single transition function appears to capture these asymmetries satisfactorily. Nonlinear models provide more accurate one-step ahead forecasts than corresponding linear leading indicator models.     

Common factors in Latin America's business cycles

We develop a common factor approach to reconstruct new business cycle indices for Argentina, Brazil, Chile, and Mexico (“LAC-4”) from a new dataset spanning 135 years. We establish the robustness of our indices through extensive testing and use them to explore business cycle properties in LAC-4 across outward- and inward-looking policy regimes. We find that output persistence in LAC-4 has been consistently high across regimes, whereas volatility has been markedly time-varying but without displaying a clear-cut relationship with openness. We also find a sizeable common regional factor driven by output and interest rates in advanced countries, including during inward-looking regimes.     

Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model

The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze the effects of macroeconomic variables (interest rate, dividend yield, and default premium) on stock return movements (including conditional mean, conditional variance, and transition probabilities) in the U.S. stock market, so as to clearly compare the predictive validity of stable and volatile states, as well as compare the in-sample and out-of-sample portfolio performance of regime switching models. The empirical results show that macro factors can affect the stock return dynamics through two different channels, and that the magnitude of their influences on returns and volatility is not constant. The effects of the three economic variables on returns are not time-invariant, but are closely related to stock market fluctuations, and the strength of predictability in a volatile regime is far greater than that in a stable regime. It is found that interest rate and dividend yield seem to play an important role in predicting conditional variance, and out-of-sample performance is largely eroded when the effects of these two factors on volatility are ignored. In addition, the three macro factors do not play any role in predicting transition probabilities.     

The business cycle in a financially deregulated context: Theory and evidence

This article proposes Minsky's financial instability hypothesis (FIH) as a theoretical underpinning for a three‐regime business cycles model. Further, it is argued that the development of the FIH for open, developing economies (FIH‐ODE) provides a better understanding of the performance of business cycles in these economies, particularly during the last two decades. In support of these claims, a three‐regime autoregressive Markov switching model is estimated from 1980q1 to 2000q4 to Mexico's quarterly real GDP to investigate its business cycle behaviour. The estimated probabilities of the high and medium growth regimes suggest, for example, that after the financial liberalisation programme was fully launched, in the late 1980s, the economy shifted from the regime of medium to high growth (and vice versa) swiftly, reflecting its dependence on capital flows. Furthermore, the estimated parameters indicate that the average length of the business cycle has not changed.