【摘要】 本文根据我国GDP的数据特征,运用Beveridge和Nelson提出的趋势周期分解技术,将GDP总量季度数据(样本:1992Q1—2008Q1)分解为确定性趋势、随机趋势与周期。在此基础上,基于方差比度量随机冲击对我国经济波动产生的持久性效应。本文的分解结果表明:(1)我国GDP中存在稳健的确定性趋势,随机冲击效应在总体上对经济增长产生负面效应;(2)我国经济共经历八轮完整的周期,并于2008年第一季度进入第九轮周期的下行期。基于方差比度量的结论为:随机冲击对我国经济的长期波动产生的持久性效应为20%,瞬间效应高达80%。更多还原

【Abstract】 This paper, based on the literature on the trend-cycle decomposition, also in accordance with the data feature of Chinese GDP, applies Beveridge and Nelson’s decomposition technique to decompose the GDP as the sum of the determinant trend, stochastic trend and business cycle. The decomposition results show there are robust determinant trend and cumulative negative stochastic trend, as well eight cycles in the GDP, in which, the maximum cycle fluctuation is about 0.58%, but the minimum is about -0.37%, and the averaged cycle persistence is 7.3 quarters. The results also show the ninth cycle has begun in 2008. The limiting value of the ratio of the variances is 20%, which implies the stochastic impact, not only brought negative effect to economic growth but also had obvious persistence effect for Chinese economic fluctuation. Therefore, the huge stochastic impact we suffered in 2008 may force Chinese economy go to deeper and more persistent in this new cycle. From this view, China should implement anti-cycle economic policy of stimulating economic growth against the stochastic impact, to weaken the economic fluctuation.更多还原