doi1. 11835 /j. issn. 18-5831. 216. 1. 6 216 22 1 JOURNAL OF CHONGQING UNIVERSITYSocial Science EditionVol. 22 No. 1 216. J. 2161 5-57. 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 Edition2161 5-57. 1 2 1. 13122. 15 SV - TVP - FAVAR 34. 12% 65. 88% 3 1961 1978 1996 SV - TVP - FAVAR F224. F82. 1 A 18-58312161-5-8 212 215-9 - 25 12JJD7915 1966-1987 -
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 12 2 8 13 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 1 2 3 4 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
52 216 22 1 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 4 5 5 2 X t Λ f Λ r R t M2 GDP 22-23 Bai Ng 24 Bernanke Boivin Eliase 6 1 2 F t 2 F t K F t F t Korobilis 2 Gibbs MCMC 1 Gibbs 2 Gibbs
53 1953-211 59 31 X t 1 2 3 4 5 5 3 CPI = CPI - 1 = - / M2 M2 M2 1953 21 25 M2 = M1+ = M+ + 21 X t 6 59 31 1 31 59 2 3 2 3 59 SV - TVP - FAVAR X t 1 X t Eviews matlab Bernanke Boivin Eliase 6 2 1 1 1 1
54 216 22 1 1 2 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 M2 1 3 13. 323 34. 12% 1 25. 72 65. 88% 34. 12% 65. 88% 1 Chow Jushan Bap Pierre Perron 26 SUPF T k UDmax WDmax 2 M2 Sequential BIC 3 LWZ 1 3 WDmax M2 1961 1978 1996 1978
55 25 1978 1996 1996 1996 2 2 Sup F T 1 Sup F T 2 Sup F T 3 Sup F T 4 Sup F T 5 7. 93 2 13. 39 5 * 17. 467 8 * 14. 564 6 * 8. 48 6 * UDmax WDmax SupF2 1 SupF3 2 SupF4 3 17. 467 8 * 17. 467 8 * 11. 98 7 * 11. 98 7 *. 578 3 Sequential 3 BIC 3 LWZ 1 T^ 1961 1 T^ 2 * 5% 1978 T^ 3 1996 2 3 1961 1978 1996 1 1 2 3 3 2 4 4
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