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Unit roots and structural breakpoints in China’s macroeconomic and financial time series
LIANG Qi, TENG Jianzhou
Front. Econ. China. 2006, 1 (4): 537-559.
https://doi.org/10.1007/s11459-006-0019-0
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.
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