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Unit roots and structural breakpoints in China¡¯s macroeconomic and financial time series

Author

Listed:
  • LIANG Qi

    (Department of Finance, School of Economics, Nankai University, Tianjin 300071, China)

  • TENG Jianzhou

    (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.

Suggested Citation

  • LIANG Qi & TENG Jianzhou, 2006. "Unit roots and structural breakpoints in China¡¯s macroeconomic and financial time series," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 1(4), pages 537-559, December.
    • Handle: RePEc:fec:journl:v:1:y:2006:i:4:p:537-559
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    File URL: http://journal.hep.com.cn/fec/EN/10.1007/s11459-006-0019-0
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    More about this item

    Keywords

    time series; unit-root tests; multiple breakpoints; segmented trend stationarity; causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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