中国宏观经济时序的平稳性再考察.pdfVIP

中国宏观经济时序的平稳性再考察 ——内生突变与平滑转换 韩青 山东大学经济学院，山东济南，250100 提 要：对宏观变量是由确定性趋势所主导还是由随机趋势所主导的区分涉及预 测精度以及潜在数据生成过程的认知理念等问题。在不考虑结构变化条件下，大 多宏观序列是单位根过程的观念被广为接受，但结构变化是数据的常见特征，并 且相当一部分都是平滑转换的渐变过程，本文重在强调将这种效应考虑在内时单 位根观念的认知需要扭转。文章用傅立叶级数逼近的方法拟合含有结构变化的序 列，与先前研究不同的是在处理突变方式上把对突变位置和突变方式的估计转化 为恰当频率的选择问题。对中国 15 个代表性宏观时序的考察说明只有股票价格、 人民币名义有效汇率和实际有效汇率有充分的理由被认为是单位根过程的实现， 而其他变量——包括实际 GDP 和进出口——被视为平滑转换的趋势平稳过程更 为合适。这意味着排除掉平滑转变的结构变动后，中国的经济周期确实是围绕在 确定性趋势上的波动，具有较长持续性效应的冲击不是整个噪声扰动，而仅是造 成结构变化的历史事件。在政策内涵上，本文的结论支持了由政府主导的意在改 善基本面的大型冲击是有可能在平衡增长路径上发挥积极作用的观点。 关键词：单位根 趋势平稳 结构突变 平滑转换 傅氏逼近 A Stationarity Reconsideration of China ’s Macroeconomic Time Series ——Endogenous Breaks and Smooth Transitions Abstract: The distinction as for whether macroeconomic variables are dominated by deterministic trend or stochastic trend relates to significant questions of forecast precision and the understanding of the latent data generating process, etc. The concept that a majority of macroeconomic variables are unit root process with an integration order of one or two has been widely accepted without the consideration of possible structural changes, which however, are common empirical features of the data and taking the form of smooth transitions. This paper emphasizes that the unit root perception needs to be reversed when taking into account of the structural breaks’ effects. Specifically this paper fits the data with possible breaks by Fourier approximation and converts the estimations of locations and styles of break into the appropriate frequency selection problem, which stands a difference from the existing literature. An examination of China’s 15 representative macroeconomic series indicates that only the common stock pric