关键词: 状态空间, Markov, 机制转换, Kalman滤波, 经济周期

Abstract: Business cycle has the characteristics of markov switching, whereas the traditional state-space models are difficult to resolve the issue of characteristics of markov switching. So in this paper we apply markov switching to state-space models and analyze China’s business cycle. The empirical results show that state-space models with markov switching portray the non-symmetry characteristics of China’s business cycle better. And we can draw an important conclusion that the government’s macro-control policy has a positive impact on our economy and macro-control is effective. 
 
 

Key words: State-space Models, Markov, Regime-switching, Kalman Filter, Business Cycle