摘要
构建了基于马尔科夫机制转换的多变量动态因子模型,给出了运用基于贝叶斯推断的吉布斯抽样方法参数估计方法,提取出了表征物流业周期共变性的公共周期因子增长率,获得了刻画物流业周期的非对称性的收缩概率.实证分析结果表明,中国物流业周期的共变性特征和非对称性特征均较显著.
In this paper the comovement and asymmetry of the logistics cycle are identified.A multivariate dynamic factor logistics cycle model with Markov Switching is given.The Model＇s Parameters are estimated using Bayesian inference methods with Gibbs Sampling.The common cycle factor and the probability of recessions of logistics are extracted.The empirical results demonstrate that the common cycle factor agrees the logistics closely,means the comevement feature of Chinese logisitics is significant.The empirical results also show that the average duration of recessions is 1.84 year,shorter than that of booms,means the asymmetry feature of Chinese logisitics is significant.
出处
《武汉理工大学学报（交通科学与工程版）》
2012年第1期103-106,共4页
Journal of Wuhan University of Technology（Transportation Science & Engineering）
基金
中央高校基本科研业务费专项资金项目资助(批准号:2009YJS043)
