doi /j. issn % % JOURNAL OF CHONGQING UNIVERSITY Social Science Edition Vol. 22 No.

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1 doi /j. issn JOURNAL OF CHONGQING UNIVERSITYSocial Science EditionVol. 22 No J Citation FormatJIN Chengxiao LU Yingchao. The decomposition of Chinese economic fluctuation and the dynamic response of monetary policy shocks J. Journal of Chongqing UniversitySocial Science Edition SV - TVP - FAVAR % % SV - TVP - FAVAR F224. F82. 1 A JJD

2 51 SV - TVP - FAVAR 1 2 Chen 3 VAR Fleischman Roberts 4 Morley Nelson Zivot 5 GDP GDP Bernanke 6 Sims 7 FAVAR 8 FAVAR CPI CPI FAVAR FAVAR Boivin Giannoni 9 Cogley Sargent 1-11 Clarida Primiceri 14 Sims Zha 15 Koop Korobilis 16 VAR VAR 17 Boivin Ng 18 Giannone Reichlin Small 19 Boivin Giannoni 9 Bernanke 6 Korobilis 2 FAVAR SV - TVP - FAVAR Korobilis 2 SV - TVP - FAVAR SV - TVP - FAVAR Sim 7 VAR Korobilis 2 SV - TVP - FAVAR Y t = α t + Σ P p = 1 β t p Y t-p + υ t 1 Y t = F t R t ' ν 1 R t K + ν 1 υ t Ω t K + ν K + ν 1

3 X t N FAVAR K + v N X t F t R t X t = Λ f F t + Λ r R t + e t 2 Λ f N K Λ r N ν e t N 1 Ψ = diagexpψ 1 t expψ n t 2 F t R t X t 1 2 SV - TVP - FAVAR Ω t = A -1 t H t A -1 t ' A t H t H t h 1 t h 2 t h K+ν t A t 1 a 21 t 1 a K+ν1 t 1 a K+νk t Primiceri 14 Koop Korobilis 16 Giordini Kohn 21 3 Λ t = Λ t-1 + J λ i tη λ t ψ i t = ψ i t-1 + J ψ i tη ψ t t = t-1 + J i tη t a t = a t-1 + J a i tη a t lnh i t = lnh i t-1 + J h i tη h t = α t β t p 5 η λ t η ψ t η t η a t η h t ~ N Q Q = Q η λ t Q η ψ t Q η t Q η α t Q η h t X t Λ f Λ r R t M2 GDP Bai Ng 24 Bernanke Boivin Eliase F t 2 F t K F t F t Korobilis 2 Gibbs MCMC 1 Gibbs 2 Gibbs

4 X t CPI = CPI - 1 = - / M2 M2 M M2 = M1+ = M X t SV - TVP - FAVAR X t 1 X t Eviews matlab Bernanke Boivin Eliase

5 x it = λ f if t + λ r ir t + e it 6 8 R 2 R 2 i = 2 varλ 'C i t Σ varλ f if t + λ r ir t = t λ 'C i t 7 Σ t λ f if t + λ r ir t 2 var λ 'C i t GDP 1 M % % % % 1 Chow Jushan Bap Pierre Perron 26 SUPF T k UDmax WDmax 2 M2 Sequential BIC 3 LWZ 1 3 WDmax M

6 Sup F T 1 Sup F T 2 Sup F T 3 Sup F T 4 Sup F T * * * * UDmax WDmax SupF2 1 SupF3 2 SupF * * * * Sequential 3 BIC 3 LWZ 1 T^ T^ 2 * 5% 1978 T^

7 SV - TVP - FAVAR % % SUPF T k UDmax WDmax J J CHEN J Z KANNAN P LOUNGANI P et al. New evidence on cyclical and structural sources of unemploymentr. IMF working paper FLEISCHMAN CA ROBERTS J M. From many seriesone cycleimproved estimates of the business cycle from a multivariate unobserved components modelr. Federal Reserve Board Finance and Economics Discussion Series Working paper MORLEY J C NELSON C R ZIVOT E. Why are Beveridge - Nelson and unobserved-component decompositions of GDP so different J. The Review of Economics and Statistics BERNANKE B S BOIVIN J ELIASZ P. Measuring the effects of monetary policya factor-augmented vector autoregressive FAVAR approach J. Quarterly journal of economics

8 57 7 SIMS C A. Macroeconomics and reality J. Econometrica Society CPI J BOIVIN J GIANNONI M. Has monetary policy become more effective J. Review of Economics and Statistics COGLEY T SARGENT T. Evolving post-world War II inflation dynamicsr. NBER Macroeconomic Annual COGLEY T SARGENT T. Drifts and volatilitiesmonetary policies and outcomes in the post WWII U. S J. Review of Economic Dynamics CLARIDA R GALI J GERTLER M. Monetary policy rule and macroeconomic stabilityevidence and some theory J. Quarterly Journal of Economics J PRIMICERI G. Time varying structural vector autoregressions and monetary policy J. Review of Economic Studies SIMS C ZHA T. Were there regime switches in macroeconomic policy J. American Economic Review KOOP G KOROBILIS D. Bayesian multivariate time series methods for empirical macroeconomics J. Foundations and Trends in Econometrics BERNANKE B S BOIVIN J. Monetary policy in a data-rich environment J. Journal of Monetary Economics BOIVIN J NG S. Understanding and comparing factor-based forecasts J. International Journal of Central Banking GIANNONE D REICHLIN L SMALL D. NowcastingThe real-time informational content of macroeconomic data J. Journal of Monetary Economics KOROBILIS D. Assessing the transmission of monetary policy shocks using dynamic factor modelsr. mimeo29. 21GIORDANI P KOHN R. Efficient Bayesian inference for multiple change point and mixture innovation modelsj. Journal of Business and Economic Statistics J J BAI J S NG S. Determining the number of factors in approximate factor models J. Econometrica Econometric Society D BAI J S PERRON P. Computation and analysis of multiple structural change models J. Journal of Applied Econometrics The decomposition of Chinese economic fluctuation and the dynamic response of monetary policy shocks JIN Chengxiao 1 LU Yingchao 2 1. Center for Quantitative EconomicsJilin UniversityChangchun 1312P. R. China 2. Post-doctorate Research StationHuaxia BankBeijing 15P. R. China Abstract: In this paper, we construct a factor-augmented vector auto-regressive model with time-varying coefficients and stochastic volatility, and use it to decompose the economic fluctuation. Based on this, we give the dynamic response of the mainly economic variables to the monetary policy shock. The results show that: 1 ) Structural factors explained % of economic fluctuation, cyclical factors explained %, the two factors have significant influence on the economy; 2) During the sample period, there are three break points. They are 1961, 1987 and 1996; 3) Different variables have different response to the shock of monetary policy; 4) In different period, the response of the economic variables to the monetary policy shock has significant difference. Key words: economic fluctuations decomposition; monetary policy shocks; SV - TVP - FAVAR