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Essays on China's Macroeconomic Fluctuations Open Access

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The dissertation contributes to the understanding of the properties of China's macroeconomic fluctuations through applying advanced econometric methods to China's quarterly real GDP, which have been investigated little due to the shortage of data. The first essay provides quarterly real GDP estimates for China from 1978q1-1991q4 using an unobserved components approach. The approach imposes fewer prior restrictions on related series and is more flexible than other disaggregation methods. The multivariate unobserved components model with total trade and domestic credit as related series is selected as the best fit model for temporal disaggregation of China's real GDP. The estimated quarterly real GDP data are then evaluated with univariate and multivariate time series analysis techniques. The constructed quarterly data are shown to be of good quality and to provide valuable information for the analyses of China's macroeconomic fluctuations. I extend the study to the macroeconomic linkages between China and other economies in the second and third essays. In the second essay a two-country correlated UC model is applied to explore the relationships between the real output fluctuations for the US and China over the period 1978q1-2009q4. The two countries are found to share approximately half of their permanent and transitory shocks. The third chapter investigates the relationships between the real output fluctuations of China with those of developed countries over the period 1978q1-2009q4. The results show that the correlations between the real output fluctuations of China and the developed world are insignificant both in terms of permanent and transitory shocks. The analysis of this dissertation with China's quarterly data suggests that domestic factors may be the major drivers of China's macro-economic fluctuations during the sample period.

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