中国金融指标对宏观经济动态的预测能力研究

发布时间：2018-01-10 22:12

本文关键词：中国金融指标对宏观经济动态的预测能力研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：宏观政策制定者在设定决策目标时,维持价格水平稳定并保持经济持续增长是最佳目标组合。纵观各国经济发展史,可以发现经济的发展总是围绕其均衡状态上下波动,这就要求政策制定者能够准确预测未来宏观经济动态的变化趋势,进而制定相机抉择的货币政策和财政政策以保证经济目标的实现。不仅如此,宏观经济增长状况也经常被用于综合衡量一个国家或地区经济发展的水平,其动态不但影响政策制定者制定经济政策,也对企业和个人的投资决策起决定性的作用,因此预测宏观经济动态的趋势是当前宏观经济与政策研究的重大课题之一。本文在研究了国内外关于宏观经济预测理论的文献的基础上,总结了国内外学者对宏观经济进行预测的理论基础和研究方法,从金融稳定性和金融系统压力状况两个角度分析了金融体系与宏观经济的关联性和传导机制,总结了国内外主要文献对于金融稳定性和金融系统压力状况的度量方式,在结合中国金融体系的实际情况的基础上拟合出金融稳健指数和金融压力指数,并利用h步向前的MIDAS模型考察上述两个合成指标对宏观经济趋势的预测能力。研究发现,金融稳健指数和金融压力指数不但对同频的宏观经济景气指数的一致指数有较好的预测能力,对于数据频率不同的GDP增长率也有同样良好的混频预测能力,且金融稳健指数领先宏观经济指标13个月,可以用来预测宏观经济走势的中长期走势;金融压力指数则领先于宏观经济指标4个月,可以用来预测宏观经济短期内的动态趋势。随后,本文还根据上述研究结果对我国下一阶段的经济政策做出建议。
[Abstract]:Policy makers in the setting of the decision goal, maintaining price stability and sustained economic growth is the best goal of the economic development of countries throughout history. The combination can be found, the economic development is always around the equilibrium state of fluctuation, which requires policy makers to accurately forecast the future trend of macroeconomic trends, and make the camera the choice of monetary policy and fiscal policy in order to ensure the realization of economic goals. Moreover, the macro economic growth that is often used to measure a country or region's economic development level, the dynamic impact not only on policy makers to make economic policy, also to the enterprise and individual investment decision play a decisive role, so the prediction of macro dynamic economic trend is one of the important topics of current macro economic and policy research. Based on the research at home and abroad on the macro economy Based on the literature prediction theory, summarizes the theoretical basis and research methods for prediction of macro economic scholars at home and abroad from two aspects of financial stability and financial pressure situation analysis system connection and transmission mechanism of financial system and macro economy, summarizes the main domestic and foreign literature about the measurement of financial stability and financial system the pressure condition, fitting out the financial stability index and financial stress index based on combining the actual situation of China in the financial system, and use h MIDAS model to step forward on the two synthetic indicators of macroeconomic trends forecast ability. The study found that the financial index and financial index with steady pressure index not only on the same frequency the macroeconomic climate index has a good predictive ability for different frequency data, GDP growth rate also has good prediction ability of mixing, And the financial stability index of leading economic index for 13 months, the long-term trend can be used to predict macroeconomic trends; financial pressure index is ahead of macroeconomic indicators for 4 months, can be used to predict the short-term macroeconomic dynamic trend. Then, according to the research results of China's economy in the next stage to make policy recommendations.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F124;F832

【参考文献】