| Economic growth and cyclical fluctuations are the main areas ofmacroeconomics; many scholars used many econometric methods to analyzing thecharacteristics and causes of fluctuations in the economic cycle. Economic cyclefluctuations occur not only in the Western developed countries; China alsoexperienced frequent fluctuations in the economic growth. Fluctuations exists in allaspects of the economy, including aggregate output, employment, investment and soon. This not only affects the economic stability and growth, and is closely related tothe welfare of every citizen. Many scholars explored extensive research on Chineseeconomic fluctuation, which is the focus of this study.Research in the economic cycle fluctuations, the extraction of volatilitycomponent from time series has been a research focus. With the emergence anddevelopment of RBC theory, filtering method has been widely used in thedecomposition of the time series. Due to differences in various filtering time seriesfor the separation of volatile components is very small, this paper select HP filteredtime series of economic, separating the various components of the cycle componentand volatility of macroeconomic variables. Through statistical analysis of thesecomponents, summed up the typical facts of economic fluctuations: Fixed assetinvestment, government spending and net exports, wages, money balances, the pricelevel is greater than the volatility of the volatility of the total output, totalconsumption, employment volatility less than the total output; fixed asset investment,wages, money balances, the price level, total consumption has pro-cyclical, andemployment, government spending and net exports are counter-cyclical fluctuations.Modern macroeconomics believes that exogenous shocks led to random fluctuationsin the economic cycle. Research to clarify the source of fluctuations in key economicfluctuations. Technology shocks, monetary policy shocks, preferences, and so theimpact is considered to be the root of the economic cycle fluctuations, differenttheories have different views. This paper studies the causes of the economic cycle within the framework of a dynamic stochastic general equilibrium model, usingBayesian methods to estimate the model parameter and Kalman smoothing operatorestimates the value of the model to achieve impact. The impact will be achievedthrough the value back to the original model to examine the economic system ofendogenous variables for each shock. The results show that the impact of technologyand investment is the main reason of the impact of fluctuations in the economic cycle,the smaller the impact of government spending and net exports to fluctuations.Finally, we use the method of DAG to test causation of macroeconomic variables.Compared with traditional methods, DAG not only can identify causal relationshipsbetween multiple variables and can limit excessive identification of the VAR modelresiduals. By PC algorithm can identify causal relationship hidden in residualscovariance matrix. The results showed that the amount of investment and moneysupply is the cause of China’s economic growth over the same period, changes in theprice level is mainly influenced by the money supply. |
