Please wait a minute...
Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2006, Vol. 1 Issue (4) : 537-559    https://doi.org/10.1007/s11459-006-0019-0
|
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
 Download: PDF(887 KB)  
 Export: BibTeX | EndNote | Reference Manager | ProCite | RefWorks
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.
Issue Date: 05 December 2006
 Cite this article:   
TENG Jianzhou,LIANG Qi. Unit roots and structural breakpoints in China’s macroeconomic and financial time series[J]. Front. Econ. China, 2006, 1(4): 537-559.
 URL:  
http://academic.hep.com.cn/fec/EN/10.1007/s11459-006-0019-0
http://academic.hep.com.cn/fec/EN/Y2006/V1/I4/537
Viewed
Full text


Abstract

Cited

  Shared   
  Discussed