本文選題：經(jīng)濟(jì)周期 + 宏觀數(shù)據(jù)發(fā)布�。� 參考：《系統(tǒng)工程理論與實(shí)踐》2017年04期

【摘要】：為充分利用實(shí)時(shí)發(fā)布的最新數(shù)據(jù)來改善宏觀經(jīng)濟(jì)分析的時(shí)效性,本文擴(kuò)展了一種能夠處理不規(guī)則數(shù)據(jù)的混頻區(qū)制轉(zhuǎn)移動(dòng)態(tài)因子模型及其貝葉斯估計(jì)方法.數(shù)值模擬結(jié)果表明貝葉斯方法提高了模型估計(jì)的準(zhǔn)確性,并發(fā)現(xiàn)含噪音成分低的指標(biāo),其新數(shù)據(jù)對(duì)實(shí)時(shí)測(cè)度的貢獻(xiàn)更大.基于2008年以來的256組實(shí)時(shí)數(shù)據(jù)的研究結(jié)果表明,文中模型不僅較好刻畫了1992年以來我國(guó)經(jīng)濟(jì)周期波動(dòng)及階段性變化,而且對(duì)GDP數(shù)據(jù)修訂具有很好的穩(wěn)健性,,此外對(duì)經(jīng)濟(jì)周期拐點(diǎn)的實(shí)時(shí)識(shí)別則存在2至8個(gè)月的滯后.最后,在每月依序發(fā)布的指標(biāo)中,進(jìn)出口數(shù)據(jù)含有較高噪音成分,工業(yè)增加值和財(cái)政稅收等數(shù)據(jù)對(duì)當(dāng)月經(jīng)濟(jì)狀況測(cè)度的更新修正幅度大且可靠性高,對(duì)于提高經(jīng)濟(jì)周期測(cè)度時(shí)效性具有重要價(jià)值.
[Abstract]:In order to make full use of the latest data released in real time to improve the timeliness of macroeconomic analysis, this paper extends a mixed region dynamic factor model and its Bayesian estimation method, which can deal with irregular data. Numerical simulation results show that the Bayesian method improves the accuracy of the model estimation and finds the index with low noise content. The new data has a greater contribution to real-time measurement. Based on 256 sets of real time data since 2008, the results show that the model not only describes the economic cycle fluctuations and periodic changes since 1992. Moreover, the revision of GDP data has good robustness, and the real time identification of the inflection point of the economic cycle has a lag of 2 to 8 months. Finally, in the index published in order of each month, the import and export data contain relatively high noise content, industrial added value and fiscal and taxation data have a large correction range and high reliability to the economic condition measure of that month. It is of great value to improve the timeliness of business cycle measurement.
【作者單位】： 廈門大學(xué)經(jīng)濟(jì)學(xué)院統(tǒng)計(jì)系;廈門大學(xué)王亞南經(jīng)濟(jì)研究院;
【基金】：國(guó)家自然科學(xué)基金(71371160) 教育部新世紀(jì)優(yōu)秀人才支持計(jì)劃(NCET-13-0509);教育部“長(zhǎng)江學(xué)者獎(jiǎng)勵(lì)計(jì)劃”青年學(xué)者項(xiàng)目~~
【分類號(hào)】：F124;F224

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