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本文基于多变量的UC趋势周期分解模型将GDP、消费、投资和出口年度数据分解成为趋势成分、共同周期因子和特异扰动成分。所提取的共同周期因子可以解释GDP周期波动的绝大部分,很好的反映了我国总体经济形势的变化。共同周期因子可以解释消费周期波动的75%以及投资周期波动的56%,但是对出口周期波动的解释能力较弱。1983年共同周期因子的扩张伴随着消费周期和投资周期的双扩张,而1992年和2003年共同周期因子由紧缩状态向扩张状态转换的过程中,投资周期增长都要快于共同周期因子的增长,而消费周期的增长要慢于共同周期因子的增长,这说明投资需求的扩张是我国经济从紧缩转换为扩张的主要动力。
Based on the multivariate UC trend decomposition model, this paper decomposes annual GDP, consumption, investment and export data into trend components, common cycle factors and peculiar perturbation components. The extracted common cycle factor can explain most of the volatility of GDP cycle and reflects the change of China’s overall economic situation. The common cycle factor accounts for 75% of the consumption cycle volatility and 56% of the investment cycle volatility, but has a weaker explanatory power of the export cycle volatility. The expansion of the common cycle factor in 1983 is accompanied by the double expansion of the consumption cycle and the investment cycle. In the process of the contraction of the common cycle factor from the contractionary state to the expansionary state in 1992 and 2003, the investment cycle grows faster than the growth of the common cycle factor , While the growth of the consumption cycle is slower than the growth of the common cycle factor. This shows that the expansion of investment demand is the main driving force for China’s economy to switch from tightening to expansion.