基于联立方程组模型的中国宏观经济预测

发布时间：2018-03-04 19:05

本文选题：宏观经济联立方程组　切入点：误差修正模型　出处：《中国财政科学研究院》2016年硕士论文　论文类型：学位论文

【摘要】：本文构建了一个小型宏观季度联立方程组模型。模型的构建主要基于凯恩斯IS-LM模型框架。在计量方法上,对行为方程使用了误差修正模型,在整体模型构建上,使用了联立方程组的方法。模型包括消费、投资、进出口、货币市场、供给、政府、汇率和价格指数共八个基本板块。模型包括17行为方程,2个定义方程,17个内生变量,10个外生变量。数据采集的区间从2005年1季度到2015年4季度。在构造行为方程时采用Hendery建模理论,即从一般到特殊的建模思想,在建立模型时,基于数据导向,先建立最一般的方程(包括所有可能的变量),然后逐步剔除明显不显著的变量,最后对行为方程进行协整检验。本文模型主要用于分析当前经济增速下滑背景下各经济变量的未来趋势,总共分为6个部分,第一部分为引文,简述了当前宏观经济形势,宏观计量模型先验主义特点,第二部分为文献综述,分别从国外和国内两方面介绍了宏观联立方程组模型的沿革发展。第三部分介绍了本文所使用的计量理论模型,包括联立方程组模型、协整理论和误差修正模型。第四部分介绍了模型数据处理的情况。第五部分介绍了本文所使用的联立方程组模型的基本结构和核心行为方程,是文章的主体部分。最后一部分是是宏观经济计量模型的预测和评估,对模型内主要经济变量进行了预测和政策建议。预测的结果表明,2016年中国GDP增速约为6.49%。需求低迷依旧是当前中国经济的症结。在货币政策和财政政策均面临约束,刺激力度有限的情况下,唯有积极创新,挖掘潜在需求,寻找新的经济增长点。当前中国供给侧结构性改革战略立足长远,力图激发创新活力来提高生产率,进而提高潜在经济增速,同时带动中国经济转型和产业升级,让中国可以顺利跨越中等收入阶段陷阱。
[Abstract]:In this paper, a small macro quarterly simultaneous equations model is constructed. The model is mainly based on Keynesian IS-LM model framework. In terms of econometric methods, the error correction model is used for the behavior equation, and the overall model is constructed. The model includes consumption, investment, import and export, money market, supply, government, The model consists of 17 behavior equations, 2 definition equations, 17 endogenous variables and 10 exogenous variables. The data collection ranges from the first quarter of 2005 to the fourth quarter of 2015. Using Hendery modeling theory, That is, from general to special modeling ideas, when building models, based on data orientation, the most general equations (including all possible variables) are first established, and then variables that are obviously not significant are gradually eliminated. Finally, the cointegration test of the behavior equation is carried out. This model is mainly used to analyze the future trend of each economic variable under the background of the current economic growth rate decline. It is divided into six parts altogether. The first part is the citation, which describes the current macroeconomic situation. The second part is literature review, which introduces the evolution and development of macroscopical simultaneous equations model from both foreign and domestic aspects. The third part introduces the econometric model used in this paper. It includes simultaneous equations model, cointegration theory and error correction model. Part 4th introduces the data processing of the model. Part 5th introduces the basic structure and core behavior equation of the simultaneous equations model used in this paper. Is the main part of the article. The last part is the prediction and evaluation of the macroeconomic econometric model. The main economic variables in the model are forecasted and policy recommendations are made. The forecast results show that China's GDP growth rate in 2016 is about 6.49.The sluggish demand is still the crux of the current Chinese economy. Both monetary and fiscal policies face constraints. In the case of limited stimulus, the only way to increase productivity is to actively innovate, tap potential demand, and seek new economic growth points. At present, China's supply-side structural reform strategy is based on the long run and tries to stimulate innovation to improve productivity. In turn, the potential growth rate will be increased, while China's economic transformation and industrial upgrading will be driven, so that China can smoothly overcome the middle-income trap.
【学位授予单位】：中国财政科学研究院
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F224;F123.2

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