| 中国物流业周期的共变性和非对称性特征 |
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| 引用本文： | 贺兴东,刘凯,邵伟如.中国物流业周期的共变性和非对称性特征[J].武汉水运工程学院学报,2012(1):103-106. |
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| 作者姓名： | 贺兴东 刘凯 邵伟如 |
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| 作者单位： | [1]北京交通大学交通运输学院,北京100044 [2]河北交通职业技术学院,石家庄050091 |
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| 基金项目： | 中央高校基本科研业务费专项资金项目资助（批准号：2009YJS043） |
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| 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.
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| 关 键 词： | 物流周期 共变性 非对称性 马尔科夫机制转换 吉布斯抽样 |
Comovement and Asymmetry of Chinese Logistics Cycle |
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| Authors: | He Xingdong Liu Kai Shao Weiru |
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| Institution: | 2) (School of Traffic and Transportation,Beijing Jiaotong University,Beijing 100044,China)1)(Hebei Jiaotong Vocational and Technical College,Shijiazhuang 050091,China)2) |
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| Abstract: | 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. |
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| Keywords: | logistics cycle comovement asymmetry markov switching gibbs sampling |
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