Unit roots and structural breakpoints in China’s macroeconomic and financial time series
Unit roots and structural breakpoints in China’s macroeconomic and financial time series
LIANG Qi1, TENG Jianzhou2
1.Department of Finance, School of Economics, Nankai University, Tianjin 300071, China; 2.Graduate School of Economics, Hitotsubashi University, Kunitachi, Tokyo 186-8601, Japan Key Laboratory for Applied Statistics of MOE, Northeast Normal University, Changchun 130024, China
Abstract：This paper applies unit-root tests to 10 Chinese macroeconomic and financial time series that allow for the possibility of up to two endogenous structural breaks. We found that 6 of the series, i.e., GDP, GDP per capita, employment, bank credit, deposit liabilities and investment, can be more accurately characterized as a segmented trend stationarity process around one or two structural breakpoints as opposed to a stochastic unit root process. Our findings have important implications for policy-makers to formulate long-term growth strategy and short-run stabilization policies, as well as causality analysis among the series.
出版日期: 2006-12-05
引用本文:
. Unit roots and structural breakpoints in China’s macroeconomic and financial time series[J]. Frontiers of Economics in China, 2006, 1(4): 537-559.
LIANG Qi, TENG Jianzhou. Unit roots and structural breakpoints in China’s macroeconomic and financial time series. Front. Econ. China, 2006, 1(4): 537-559.
