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中国经济周期的混频数据测度及实时分析
id: 2200
Date: 20131014
status: published
Times:
Magazines
2013年第6期
Author
郑挺国, 王霞
Content
现代宏观经济研究表明,经济周期波动体现了月度、季度及年度等各种宏观经济指标的协同性变动。考虑到GDP等季度指标在宏观经济分析中的重要地位,本文构建了一种能够综合利用我国季度数据和月度数据的经济周期计量模型,即混频数据区制转移动态因子模型。通过对我国季度GDP同比增长率和五个月度一致指 标进行实证建模和估计,我们不仅识别了我国1992年至2011年间的经济周期变化,而且获得了可以描述我国经济运行状况的一致指数。特别地,本文通过收集宏观经济实时数据,进一步从实时分析的角度考察了该模型在我国经济周期测度(经济转折点识别和测定)上的可靠性和时效性,从而验证了该模型在我国的适用性。
JEL-Codes
Keywords
经济周期 混频数据 区制转移 动态因子模型 实时分析
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