生产率冲击、随机趋势与经济波动
5131 
2014
财经研究 2005 年 第 31 卷第 07 期, 页码：32 - 41
摘要
参考文献
摘要
文章在新古典随机增长模型的框架下,扩展并简化了KPSW的计量经济学方法,并用它识别和测量了具有持久效应的生产率冲击对我国经济波动的影响。我们发现具有持久效应的生产率冲击不仅引起了这些变量长期趋势的随机变化,而且导致了投资和产出偏离随机趋势的短期波动。不过,生产率冲击的短期波动效应可能并不具有实际上的重要性。
[1]CochraneJH.PermanentandtransitorycomponentsofGNPandstockprice[J].QuarterlyJournalofEconomics,1994,109:241～265.
[2]Fama,EF.Transitoryvariationininvestmentandoutput[J].JournalofMonetaryE conomics.1992,30:467～480.
[3]HsuehTT,LiQ.China’snationalincome[M].Boulder:WestviewPress1999.
[4]ImKS,PesaranMH,YShin.Testingunitrootsinheterogeneouspanels[J].Journal ofEconometrics.2003.115:53～74.
[5]Johansen,Soren.Estimationandhypothesistestingofcointegrationvectorsingaussian vectorautoregressivemodels[J].Econometrica.1991,59:1551～1580.
[6]RobertGKing,CharlesIPlosser,JamesHStock,MarkWWatson.Stochastictrends andeconomicfluctuations[J].TheAmericanEconomicReview,1988,VOL81No4:819～840.
[7]HallRE.StochasticimplicationoftheLifeCycle PermanentIncomeHypathesis:Theo ryandevidence.[J].JournalofPoliticalEconomy,1978,86:971～987.
[8]Solow,RobertM.Growthstheory:Anexposition[M].Exford:ClarendonPress,1970.
[9]YanWang,YudongYao.SourcesofChina’economicgrowth1952～1999:Incorpora tinghumancapitalaccumulation[J].ChinaEconomicReview.2003.14:32～52.
[2]Fama,EF.Transitoryvariationininvestmentandoutput[J].JournalofMonetaryE conomics.1992,30:467～480.
[3]HsuehTT,LiQ.China’snationalincome[M].Boulder:WestviewPress1999.
[4]ImKS,PesaranMH,YShin.Testingunitrootsinheterogeneouspanels[J].Journal ofEconometrics.2003.115:53～74.
[5]Johansen,Soren.Estimationandhypothesistestingofcointegrationvectorsingaussian vectorautoregressivemodels[J].Econometrica.1991,59:1551～1580.
[6]RobertGKing,CharlesIPlosser,JamesHStock,MarkWWatson.Stochastictrends andeconomicfluctuations[J].TheAmericanEconomicReview,1988,VOL81No4:819～840.
[7]HallRE.StochasticimplicationoftheLifeCycle PermanentIncomeHypathesis:Theo ryandevidence.[J].JournalofPoliticalEconomy,1978,86:971～987.
[8]Solow,RobertM.Growthstheory:Anexposition[M].Exford:ClarendonPress,1970.
[9]YanWang,YudongYao.SourcesofChina’economicgrowth1952～1999:Incorpora tinghumancapitalaccumulation[J].ChinaEconomicReview.2003.14:32～52.
引用本文
简泽. 生产率冲击、随机趋势与经济波动[J]. 财经研究, 2005, 31(7): 32–41.
导出参考文献，格式为：
下一篇：民营化改革的所有权结构选择
