【摘要】：經(jīng)濟周期用來表示經(jīng)濟運行的周期性經(jīng)濟收縮的過程中循環(huán)出現(xiàn)的經(jīng)濟擴張周期的一種現(xiàn)象,我們通常把經(jīng)濟周期分為復(fù)蘇、繁榮、衰退和蕭條四個階段,經(jīng)濟周期可以分為理論研究和實證研究兩個方面的問題,理論研究的目的在于通過建立在一定假設(shè)基礎(chǔ)上的理論模型,探尋經(jīng)濟周期的形成原因,并根據(jù)模型的分析結(jié)果指出經(jīng)濟運行的變動趨勢；而實證研究的主要任務(wù)在于描述經(jīng)濟周期,根據(jù)各種可以利用的經(jīng)濟指標(biāo)對經(jīng)濟運行的狀態(tài)給出較準(zhǔn)確的測量。本文即是對經(jīng)濟周期的實證研究。 自從2007-2009年爆發(fā)全球經(jīng)濟危機以來,有關(guān)于經(jīng)濟周期波動轉(zhuǎn)折點預(yù)測的問題又引起了廣泛關(guān)注。經(jīng)濟周期轉(zhuǎn)折點的確定對于家庭、企業(yè)和投資者來說都是非常重要的問題,因為其當(dāng)前對消費、生產(chǎn)和投資的決策,都依賴于他們對未來經(jīng)濟前景的期望。對于中央銀行的銀行家和政策制定者來說,對經(jīng)濟狀況的準(zhǔn)確和可靠的預(yù)測,有利于實施適當(dāng)和先發(fā)制人的政策。 本文首先確定了基準(zhǔn)指標(biāo),即國家統(tǒng)計局公布的一致合成指數(shù),并使用B-B方法對基準(zhǔn)指標(biāo)確定轉(zhuǎn)折點,然后在對國外的先行指標(biāo)體系進(jìn)行概述的基礎(chǔ)上,利用時差相關(guān)分析和峰谷對應(yīng)法等多種計量方法,對本文所使用的先行指標(biāo)認(rèn)真進(jìn)行了大量的篩選工作,從不同的領(lǐng)域篩選出了12個先行指標(biāo),分別是：粗鋼產(chǎn)量增速、化肥產(chǎn)量增速、汽車產(chǎn)量增速、生鐵產(chǎn)量增速、水泥產(chǎn)量增速、M2月末數(shù)同比增速、固定資產(chǎn)投資完成額增速、固定資產(chǎn)投資本年新開工項目個數(shù)增速、出口額累計同比增速、逆轉(zhuǎn)CPI、股票成交量增速和商品房銷售額增速。本文所使用的數(shù)據(jù)時期為1999.1—2013.5。 根據(jù)文章實證研究的需要,我們最終選定了12個先行指標(biāo),采用的主成分分析法是基于相關(guān)矩陣求解因子載荷,同時計算出與其相對應(yīng)的貢獻(xiàn)率、累積貢獻(xiàn)率和特征值,以使因子載荷矩陣得到更明確的經(jīng)濟含義,采用最大方差法對初始因子載荷陣進(jìn)行正交旋轉(zhuǎn)。最終提取出四個因子,分別為：主要上游產(chǎn)品產(chǎn)量因子、流動性和投資因子、抑制需求因子和財富效應(yīng)因子。 之后本文基于四個因子及不同形式的probit模型方法,以統(tǒng)計局公布的一致合成指數(shù)為基準(zhǔn),對經(jīng)濟狀況的轉(zhuǎn)折點進(jìn)行了分析與預(yù)測。本文主要對靜態(tài)概率模型和動態(tài)概率模型兩種不同形式的模型進(jìn)行預(yù)測效果的比較,當(dāng)使用單變量靜態(tài)probit模型進(jìn)行估計時,發(fā)現(xiàn)其預(yù)測結(jié)果并不可靠,所以進(jìn)一步構(gòu)建多變量的模型。雖然兩種不同形式的probit模型所包含的解釋變量是相同的,但每個解釋變量的滯后期是不同的,我們根據(jù)最高的McFadden R2,來選擇在不同模型中每個解釋變量的最優(yōu)滯后階數(shù)。樣本內(nèi)預(yù)測結(jié)果表明：使用先行指標(biāo)所提取的四個因子可以對我國的經(jīng)濟周期波動作出一定程度的預(yù)測,而且動態(tài)概率模型比靜態(tài)概率模型的表現(xiàn)要好,我們還分別設(shè)置了0.5和0.25的概率門限值,結(jié)果發(fā)現(xiàn),當(dāng)使用更低的概率門限值時,提高了對衰退月的預(yù)測,但同時也增加了錯誤的衰退預(yù)警信號。對于樣本外的預(yù)測,我們分別使用平均絕對誤差(MAE)和均方根誤差(RMSE)進(jìn)行度量比較,結(jié)果表明：我們使用四個因子所建立的預(yù)測模型是合理、有效的。動態(tài)概率模型的樣本外預(yù)測的結(jié)果也要優(yōu)于靜態(tài)概率模型。而且使用不同的概率門限值來預(yù)測衰退月的百分比,發(fā)現(xiàn)使用0.25的概率門限值比使用0.5的概率門限值可以更精確的對衰退月進(jìn)行樣本外預(yù)測。 最后根據(jù)FAVAR模型對經(jīng)濟形式的影響因素進(jìn)行了分析,實證結(jié)果發(fā)現(xiàn)：(1)在當(dāng)期給主要上游產(chǎn)品產(chǎn)量一個單位的正向沖擊,會對我國經(jīng)濟狀況產(chǎn)生一個正向的響應(yīng),這種促進(jìn)作用大概可以持續(xù)一年左右的時間；(2)流動性和投資因素對經(jīng)濟形勢的沖擊也是正向的,當(dāng)增加貨幣供給量或者增加固定資產(chǎn)投資,都會對經(jīng)濟有一個促進(jìn)作用,而且這種促進(jìn)作用比主要上游產(chǎn)品產(chǎn)量的促進(jìn)作用持續(xù)時間要長,約持續(xù)兩年左右的時間；(3)抑制需求因素對經(jīng)濟會產(chǎn)生抑制作用,因此需求因素對經(jīng)濟是產(chǎn)生促進(jìn)作用的,所以增加需求可以促進(jìn)經(jīng)濟發(fā)展；(4)財富效應(yīng)對我國經(jīng)濟有一個正向的沖擊作用。但總體看來,對經(jīng)濟沖擊影響最大的是流動性和投資因素,即貨幣供應(yīng)量和投資的變化。 本文的主要創(chuàng)新之處主要有以下三點：(1)本文對先行指標(biāo)提取因子作為相應(yīng)的解釋變量進(jìn)行實證分析。(2)本文使用了多變量的不同形式的probit模型進(jìn)行預(yù)測,并對預(yù)測結(jié)果進(jìn)行了比較。(3)本文使用了比較前沿的FAVAR模型實證分析了四個因子對經(jīng)濟狀況的沖擊作用。
[Abstract]:The economic cycle is used to represent a phenomenon of the cycle of economic expansion in the process of the cyclical economic contraction of economic operation, and we usually divide the economic cycle into four stages of recovery, prosperity, recession and depression, The economic cycle can be divided into two aspects: the theoretical research and the empirical study. The purpose of the theoretical study is to explore the reason of the formation of the economic cycle by establishing a theoretical model based on a certain hypothesis, and to point out the change trend of the economic operation according to the analysis result of the model; The main task of the empirical study is to describe the economic cycle and give a more accurate measurement of the state of the economic operation according to the economic indicators that can be used. This paper is an empirical study of the economic cycle. Since the outbreak of the global economic crisis in 2007-2009, there has been a wide range of problems related to the prediction of the turning point of the economic cycle Note: The determination of the turning point of the economic cycle is a very important issue for families, businesses and investors, as their current decisions on consumption, production and investment depend on their future economic outlook hope. For bankers and policymakers of the central bank, an accurate and reliable prediction of the economic situation is conducive to the implementation of appropriate and pre-emptive administration The paper first defines the benchmark index, that is, the agreement synthetic index published by the national statistical office, and uses the B-B method to determine the turning point for the reference index, and then, based on the outline of the foreign advanced index system, the paper makes use of the time difference correlation analysis and the peak-to-valley correspondence method. In this paper, we have carried out a lot of screening work on the leading indicators used in this paper, and 12 leading indicators were selected from different fields, namely, the growth of crude steel, the increase of the output of chemical fertilizer, the growth of the output of the automobile, the increase of the output of pig iron, the growth of the cement output, and the number of the end of the month of the month of the month of the month of the month. The increase of the growth rate, the completion of fixed assets investment, the increase of the number of new start-up projects in the fixed assets investment in the current year, the cumulative year-on-year growth of the export volume, the reversal of the CPI, the growth of the stock volume and the sales of the commercial The data period used herein is 1999.1 to 201. 3.5. According to the need of the empirical study of the article, we have selected 12 leading indicators, and the principal component analysis method is based on the correlation matrix to solve the factor load, and the contribution rate and the cumulative contribution corresponding to it are calculated. The rate and the characteristic value, so that the factor load matrix gets more explicit economic meaning, the initial factor load array is loaded by the maximum variance method. the four factors are finally extracted, namely, the main upstream product yield factor, the liquidity and the investment factor, the demand factor and the money, In this paper, based on the four factors and the method of probit model in different forms, the turning point of the economic situation is put forward based on the consensus synthesis index published by the statistical bureau. In this paper, the prediction results of two models of static probability model and dynamic probability model are compared, and when the single-variable static probit model is used for estimation, it is found that the prediction result is not reliable, so it is further constructed The model of the built-in variable. Although the explanatory variables included in the two different form of probit models are the same, the lag phase of each explanatory variable is different, and we select each explanatory variable in different models according to the highest McFadden R2 The results of the prediction in the samples show that the four factors extracted by using the antecedent index can predict the fluctuation of the economic cycle in China, and the dynamic probability model is better than the static probability model, and we also set the probability gates of 0.5 and 0.25 respectively. Limits, with the result that, when lower probability threshold values are used, the prediction of the recession is increased, but at the same time an error is added The average absolute error (MAE) and the root mean square error (RMSE) are used for the prediction of the outside of the sample. The results show that we use the prediction model established by the four factors It is reasonable and effective. The results of the out-of-sample prediction of the dynamic probability model are also excellent. In the static probability model, and a different probability threshold is used to predict the percentage of the decay month, it is found that the probability threshold value of 0.25 can be more accurate for the recession than the probability threshold value of 0.5 Based on the analysis of the influence factors of the FAVAR model on the economic form, the empirical results show that: (1) The positive impact of a unit in the production of the main upstream product in the current period will affect the economic situation of our country. There is a positive response, which can last about a year or so; (2) the impact of liquidity and investment factors on the economic situation is also positive, and when the amount of money is increased or the investment of fixed assets is increased, it will be The economy has a promoting effect, and the promotion rate is longer than that of the main upstream product, for about two years or so; (3) the inhibition of demand factors has an inhibitory effect on the economy, so the demand factor is Jinan has a stimulating effect, so increasing demand can promote economic development; (4) the wealth effect has a good effect on China's economy A positive impact. But overall, the biggest impact on economic shocks is liquidity and investment, that is, money The main innovation of this paper is the following three points: (1) This paper takes the first index extraction factor as the corresponding (2) In this paper, a multi-variable probit model is used for prediction. The results of the prediction are compared in this paper. (3) The FAVAR model of the comparative front edge is used to analyze the four factors.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F124.8

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