Cointegration analysis with structural changes between consumption and economic growth in China

摘要

In order to investigate the existence of a stable long-run equilibrium relationship between economic growth and consumption in China, the relationship between the gross domestic product (GDP) and consumption in China was investigated by the cointegration analysis method. Using the Engle-Granger (EG) test and considering the possibility of structural changes, the impact of external economic shocks on the long-run equilibrium relationship between economic growth and consumption in China was analyzed. Analysis results show that without considering structural changes, the EG test cannot detect cointegration in the series subjected to structural changes; in considering structural changes, cointegration is successfully detected by specifying the dummy variable. In addition, the error correction models were constructed in different periods. This study verifies the existence of a long-run equilibrium relationship between economic growth and consumption in China, and this relationship has significantly changed in 1989 and 1997, respectively.