中国存货投资的周期性研究
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| Title | On the Cyclical Behaviors of Chinese Inventory Investments
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| 作者 | 许志伟 车大为 薛鹤翔 |
| Author | Xu Zhiwei , Che Dawei and Xue Hexiang |
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| 作者Email | xuzhiwei09@gmail.com |
| 中文关键词 | 存货周期 中国经济波动 存货投资 采购经理人指数 贝叶斯估计 |
| Key Words | Inventory Cycle; Chinese Business Cycle; Inventory Investment; Purchasing Manager Index; Bayesian Estimation |
| 内容提要 | 中国宏观数据表明，存货总投资对解释GDP波动具有非常重要的作用。进一步利用采购经理人指数（PMI）数据对产成品存货投资和原材料存货投资进行研究，本文发现前者具有弱的逆周期性，而后者表现出强的顺周期性。随后，本文构建了一个具有产成品和原材料两种存货的动态宏观模型。利用贝叶斯动态方法，我们对模型进行了整体估计。结果表明，模型动态从理论上很好地解释了数据中的经验事实；两类存货投资的周期性特征主要源于最终需求冲击，该结论印证了2008年金融危机中，外贸萎缩导致的需求大幅回落是造成中国经济波动的最主要因素。 |
| Abstract | Chinese macroeconomic data shows that the inventory investment plays an important role in explaining output volatility. Using PMI dataset, we further investigate inventory investments for both final goods and material goods. We find that the former series are weak counter-cyclical, while the latter is strong pro-cyclical. We then construct a dynamic model with both types of inventories. After conducting dynamic Bayesian estimation, we find that: (1) the model can explain empirical findings quite well, and (2) fluctuations of inventory investments are mainly caused by the demand shock. |
| 文章编号 | WP208 |
| 登载时间 | 2012-01-16 |
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