Identifying the Turning Points and Its Characteristics of Business Cycles in China

This paper applies Gibbs sampling approach to estimate multivariate dynamic Markov-switching factor model of business cycle and analyzes the characteristics of business cycles as well as identifying the turning points. Our conclusions are as follows: (1) In the long run, business cycles presence the characteristics of co-movement and nonlinearity in China, economy fluctuated markedly and regimes switched frequently before the reform and opening up, while economy became more smoothing after the reform and opening up;(2) In the short run particularly since 1990’s, the evolution of business cycle became more smoothing with prominent characteristics of co-movement but characteristics of nonlinearity reduced.