THE COMOVEMENT AND ASYMMETRY OF LOGISTICS CYCLE A Multivariate Dynamic Factor Model with Markov Switching and its Application

摘要：

This paper identifies the comovement and asymmetry of the logistics cycle. 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 growth rate of the common cycle variable and the probability of recessions are extracted. The empirical results demonstrate that both comovement among indicators and asymmetry between a recession and a boom are significant features of Chinese logistics cycle.

关键词： Logistics Cycle Comovement Asymmetry Markov switching

作者: Xingdong He Kai Liu Weiru Shao

作者单位: School of Traffic and Transportation, Beijing Jiaotong University, Beijing, China Hebei Jiaotong Vocational and Technical College, Shijiazhuang, China

会议类型: 国际会议

会议名称: 1st International Conference on Logistics,Informatics and Service Science(2011物流、信息化与服务科学国际会议 LISS 2011)

会议地点: 北京

会议语种:英文

页码: 328-333

在线出版日期: 2011-06-08（万方平台首次上网日期，不代表论文的发表时间）