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1 ( ) Journal of Zhejiang Un iversity( Human ities and Socia l Sc iences) Vol. 36, No. 2 Mar. 2006, (, ) [ ],,, Markov,,,, ;,,,,,, [ ] ; ; ; ; [ ] F [ ] A [ ] X (2006) , 8%,,,,, 2003, 9. 1%,, [ 1 ] 1996, [ 2 ]4-7,,,,,,,,,, [ ] [ ] http: //www. journals. zju. edu. cn / soc [ ] ( ) ; (05BJL019) [ ] 1. (1964 ),,,,, ; 2. (1979 ),,,,

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3 2, : 97 x t Ham ilton [ 9 ] = ( y 1 t, y 2 t ), y 1 t y 2 t (, ) VAR ( p) (VEC) : x t - (S t ) = < (S t ) ( x t- 1 ) + p i =1 i [ x t- i - (S t- i ) ] + t (1) (S t ),, < ( S t ) =, t Johansen [ 10 ],, < (S t ) (1), S t { 1, 2,, m }, { S t } m Markov, : p ij = P [ S t = j S t - 1 = i ], : m = 1, i = 1, L m j =1 MS - VEC,,,, Ham ilton (1989), Kim Nelson [ 11 ]96-135, S t,,, y 1 t y 2 t GDP ( ), y 1 t y 2 t MS(2) - VEC ( p) 1, 2, ( i) i, : (1) < (2) GDP ( ) ( ) 1,, 1 ( ) ( ),

Markov, : p ij = P [ S t = j S t - 1 = i ], : m = 1, i = 1, L m j =1 MS - VEC,,,, Ham ilton (1989), Kim Nelson [ 11

4 98 ( ) 36 y 1T ( , 100) y 2 t 1, 1, x t = ( y 1 t, y 2 t ), Johansen GDP, 2, : x t - (S t ) = < (S t ) ( x t- 1 ) + 2 t =1 i [ x t- i - (S t- i ) ] + t (2) x t = ( y 1t, 2y 2t ), y 1t y 2t (, ) Krolzig MSVAR Givewin ( Krolzig [ 12 ] ) 1 1 [ t - ] [ t - ] (1) [ ] (2) [ ] < (1) [ ] < (2) [ ] y y % %, ;,, 1,, ; 2,, 2 3 2, 1996,,, ; 3, ,,, p ij 3, [ 11 ] D ( S i ) = 1 / ( 1 - p ii ) 2 3,, ,,, 68. 4%, ;, ,

35 ] (2) 17. 77 [ 3. 89 ] < (1) 0. 247 [ 0. 86 ] < (2) - 0. 449 [ - 2. 75 ] y 1 1. 953 y 2 3. 674 1 0. 703 2 3. 319 1 9. 71% 17.

5 2, : %, , 2 3 j i ,, 4, ;, ( (2) = ), 4 ( ) 5 ( ) ( ), [ 13 ] [ 14 ], ( threshold),, :, ;,,, 6 MARAL K, R ICHARD L, On Inflation and the Persistence of Shocks to Output, Bank of Canada Working Paper, 2001, p. 22

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6 100 ( ) 36, 5,,, 10%, ; 10%,, 10%, 10% 6,, ( sp illover effect) [ 15 ],, 4 5,, MS(2) - VECM (3),,, : ( ),, ( ),, %,, ;,,,, ( ),, ;, 7. 86%, %, ;, %, 1. 95%, %, 3. 67%, ( ),, 10%,, 10%,,, ;,,,,,

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7 2, : 101,, 2003,,,,,,, [ ] [ 1 ]. [ J ]., 2003, (5) : [ 2 ]. [ J ]., 2003, (3) : 3-8. [ 3 ] TOB IN J. Money and econom ic growth[ J ]. Econometrica, 1965, 32: [ 4 ]. : [ J ]., 1998, (3) : [ 5 ]. [ EB /0L ]. http: / /www. iwep. org. cn /pdf/hgjjxs. pdf / [ 6 ],. [ J ]., 2003, (6) : [ 7 ] BARRO R J. Inflation and econom ic growth[ J ]. Bank of England Quarterly Bulletin, 1995, 35: [ 8 ] HAM ILTON J D. A new app roach to the econom ic analysis of nonstationary time series and the business cycle[ J ]. Econometrica, 1989, 57: [ 9 ] KROLZIG M M. A Markov2Switching Vector Equilibrium Correction Model of the UK LabourMarket[ J ]. Emp irical Econom ics, 2002, 27: [ 1 0 ] JOHANSEN S. Statistical analysis of cointegration vector[ J ]. Journal of Econom ic Dynam ics and Control, 1988, 12: [ 1 1 ] KIM C J, NELSON C R. State2Space Models with Regime Switching: Classical and Gibbs2Samp ling App roaches with App lications[m ]. Cambridge, MA: The M IT Press, [ 1 2 ] KROLZIG H M. Markov2Switching Vector Autoregressions: Modelling, Statistical Inference and App lication to Business Cycle Analysis[M ]. Berlin: Sp ringer, [ 1 3 ] ELWOOD S K. Is the Persistence of Shocks to Output Symmetric? [ J ]. Journal ofmonetary Econom ics, 1998, 41: [ 1 4 ] BEAUDRY P, KOOP G. Do Recessions Permanently Change Output? [ J ]. Journal ofmonetary Econom ics, 1993, 31: [ 1 5 ] SOLA M, FAB IO S. A test for volatility sp illovers[ J ]. Econom ics Letters, 2002, 76: Reg im es Sw itch ing in Ch inaπs Business Cycle and Ana lysis of the Properties of Reg im es L IU J in2quan, L IU Zhi2gang (Q uantitative R esea rch Center of Econom ics, J ilin U niversity, J ilin , China) Abstract: W ith a decrease of volatility in China s business cycles, stability in p rice is increased. This

Inflation and econom ic growth[ J ]. Bank of England Quarterly Bulletin, 1995, 35: 166-176. [ 8 ] HAM ILTON J D.

8 102 ( ) 36 indicates a trade - off and influence relationship between output and inflation in both the levels and the volatilities. In this paper, we are using the Vector Error CorrectModel w ith M arkov Regim e Sw itching to test the equilibrium relationship s in the long run and the short fluctuation patterns in the short run in the real output and inflation. Our aim s are to test the relationship s between grow th and inflation in different regimes. W e also want to test whether the relationship depends on the stages of business cycle. W e find the follow ing emp irical evidences and econom ic policy imp lications: Firstly, by m easuring and testing the regimes of grow th, we find the evidence of the existence of boundary of growth. The growth p rocess can be divided into two regimes titled by suitable growth and fast growth w ith the m ean grow th of 9. 71% and % respectively. Chinaπs grow th is frequently app roaching the regime of suitable growth. A t the same time, the regime of suitable growth has both a stronger stability and a longer duration. This is the result of grow th app roaching natural rate. Secondly, by estimating the transition p robabilities and the durations of regim es, we find the evidence supporting the existence of business cycle asymmetry in Chinaπs business cycles. In the point of duration, suitable growth is two times as long as the duration of fast growth. In the point of transition possibility, the p robability transited from suitable growth to fast growth is 7. 86%, and the inversed transition p robability is %. This means that the econom ic growth is more likely to go slowly than fast. In the point of volatility, the standard deviations of suitable growth and fast growth are 1. 95% and 3. 67%. This means that the regime of suitable growth is a stable state compared with the regime of fast growth. Thirdly, by measuring and testing the relationship between grow th and inflation both in level and volatility, we find the evidences which show the threshold effect and sp illover effect from inflation to grow th. If inflation exceeds 10%, it w ill hurt the grow th. If the inflation uncertainty is enlarged, output volatility w ill be increased in the follow ing periods. A s the Phillip s Curve depends on the regim es of business cycles, we should choose the monetary target and tools according to the stages of growth. Chinaπs growth is at the regime of suitable growth. In macroeconom ic control, we should take a healty monetary policy to p revent the appearance of higher inflation and to avoid the return of deflation at the same time. Key words: business cycle; econom ic grow th; inflation volatility; regime sw itching; Vector Error Correct Model

in the real output and inflation. Our aim s are to test the relationship s between grow th and inflation in different regimes.

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