| 中国经济周期波动的典型化事实:一个基于CF滤波的研究 |
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| 引用本文： | 吕光明,齐鹰飞.中国经济周期波动的典型化事实:一个基于CF滤波的研究[J].财经问题研究,2006(7):3-10. |
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| 作者姓名： | 吕光明 齐鹰飞 |
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| 作者单位： | 1. 中央财经大学,经济学院,北京,100081
2. 东北财经大学,富虹经济学院,辽宁,大连,116025 |
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| 摘 要： | 从宏观时间序列经验特征中概括经济周期波动的典型化事实是经济学研究的一项重要课题,也是当前中国经济周期波动研究的欠缺所在.本文采集23个主要宏观经济变量数据,运用新近提出的CF滤波,分解得到它们的周期性成分,并计算这些周期性成分的标准差、自相关系数以及它们之间的时差相关系数.在此基础上,分析了中国经济周期波动的经验特征,总结出中国经济周期波动的典型化事实,并与美国的研究结果加以对比,揭示出中国经济周期波动经验特征和典型化事实的一般性和特殊性.本文的研究进一步验证了Lucas(1977)命题,也有助于为相关理论发展和宏观调控操作提供参照和借鉴.
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| 关 键 词： | 经济周期波动 经验特征 典型化事实 CF滤波 |
| 文章编号： | 1000-176X（2006）07-0003-08 |
| 收稿时间： | 04 25 2006 12:00AM |
| 修稿时间： | 2006-04-25 |
The Stylized Facts of Business Cycle Fluctuations in China--An Empirical Investigation with Christiano-Fitzgerald Filter |
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| L Guang-ming,QI Ying-fei.The Stylized Facts of Business Cycle Fluctuations in China--An Empirical Investigation with Christiano-Fitzgerald Filter[J].Research On Financial and Economic Issues,2006(7):3-10. |
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| Authors: | L Guang-ming QI Ying-fei |
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| Institution: | 1. School of Economics, Central University of Finance and Economics, Beijing 100081, China;2. Fuhong School of Economics, Dongbei University of Finance and Economics, Dalian Liaoning 116025 ,China |
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| Abstract: | It is one of the most important issues for economists to sum up the stylized facts of business cycle fluctuations in macroeconomic time series.This paper is just an attempt to conduct this issue which is barely studied in China.We discuss the empirical characteristics and sum up the stylized facts of business cycle fluctuations in China based on the examinations of 23 macroeconomic time series with the newly-developed CF filter.To reveal the universality of the facts,they are also compared with those of USA.Our results offer support to the Lucas(1977) proposition and can serve as an empirical foundation for model developments and policy operations. |
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| Keywords: | business cycle fluctuations empirical characteristics stylized facts CF filter |
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