Economic Theory and Business Management ›› 2012, Vol. 31 ›› Issue (10): 12-24.

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STUDY ON CHINAS BUSINESS CYCLE——A Largedimensional Regimeswitching Factor Model Approach

 LIU  Zhen-Ya-1, DENG  Lei-2   

  1. 1Department of Economics, University of Birmingham, Birmingham B152TT, UK;
    2School of Finance, Renmin University of China, Beijing 100872, China
  • Received:2012-06-11 Online:2012-10-25 Published:2012-10-20

我国宏观经济周期性特征研究——基于高维机制转换因子模型的考察

 刘振亚1, 邓磊2   

  1. 1伯明翰大学，英国伯明翰B152TT； 2 中国人民大学，北京100872
  • 作者简介:刘振亚（1964—），男，江苏徐州人，英国伯明翰大学经济学院教授，中国人民大学财政金融学院教授，博士生导师，经济学博士； 邓磊（1982—），男，辽宁开原人，中国人民大学财政金融学院博士研究生，美国加州大学圣地亚哥分校访问学者。
  • 基金资助:

    教育部人文社会科学重点研究基地重大项目（2009JJD790050）

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Abstract: This paper focused on high dimensional economic variables that were subject to regime switching and put forward a new model: largedimensional regimeswitching factor model (LD-RS-FM). Based on a twostep analysis, principal component analysis and autoregressive analysis, the model proposed here was capable of capturing important macroeconomic features, such as comovements and structural changes, with a very small number of representative common factors. Therefore, these factors could be used for purpose of regime switching analysis. Additionally, there were also some structural meanings underlying these factors. Conclusions suggested that LD-RS-FM was a powerful tool for the study the business cycle features of Chinese macroeconomy.

Key words:  business cycle , factor model , regime switching , PCA

摘要： 本文利用高维机制转换因子模型（LDRSFM）研究大规模经济数据的机制转换特征和经济的周期性特征。借助主成分分析（PCA）和共同因子自回归的二步分析方法，LDRSFM从大规模变量中提炼出维数较小并可以概括经济周期运动的共同因子，在此基础上进行机制转换分析。这些共同因子代表了大部分宏观经济运动的趋势和特征，并具有明显的结构化含义。实证结果表明，LDRSFM在中国宏观经济周期性特征研究方面具有一定的理论和应用价值。

关键词: 经济周期 , 因子模型 , 机制转换 , 主成分分析