基于Stock-Watson型景气指数方法的我国多维经济景气分析

发布时间：2018-02-25 15:51

本文关键词： 经济周期理论景气分析多维框架 Stock-Watson型景气指数　出处：《首都经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：在全球经济一体化的背景下,我国经济周期性波动的市场化特征愈发显著,因此,为了保证经济平稳快速发展,对宏观经济的监测就必不可少。作为监测经济波动的工具,经济景气指数的应用逐渐发展起来。 20世纪60年代末,美国国家经济研究局(National Bureau of Economic Research,简称NBER)和美国商务部合作开发了合成指数(Composite Index),作为监测经济波动的指数工具。合成指数(CI)由于只是将处于上升阶段和下降阶段的指标进行简单的数值相比,使得一些人认为其缺乏严密的数学模型的支持,从而产生的结果不足以使人信服。此外,随着我国市场经济的逐步发展,宏观经济中各个领域展现出不同的波动周期,这些波动周期之间的相互影响是一个非常复杂的过程。这就导致传统的单一的合成指数体系已经不能够满足准确、全面的反映宏观经济运行状况的需要。基于以上两个问题,本文立足于使用建立在更加严密的数学模型上的Stock-Watson型景气指数对我国宏观经济系统构建更为全面的多维框架景气分析系统。对物价、消费、投资、出口、汽车、房地产和宏观经济总量分别构建SW景气指数,从而形成对我国宏观经济的多维SW景气指数监测体系。对比传统的合成指数与本文所构建的SW景气指数,结果显示SW景气指数能够准确的反映我国宏观经济的波动情况,对于经济的转折点更加敏感,而多维框架景气分析方法又可以对我国宏观经济进行更加准确全面的分析。在一定程度上,可以详细的判断出导致每次经济转折的驱动因素,从而为宏观调控机构能够更加及时有效的调控宏观经济提供更加具有针对性的政策建议。本文使用的方法与传统方法相比,主要不同有两点：第一,本文所采用的Stock-Watson型景气指数方法是基于完善的理论基础和严密的数学模型的指数构建方法,相比一些传统的景气指数构建方法,具有更好的逻辑严谨性。第二,相比起当前我国经济监测还是基于宏观经济总量进行全局性的了解,本文采用多维框架分析方法,对宏观经济的几个重要维度分别建立景气指数系统,通过综合考虑宏观经济各个维度之间的动态关系,监控和预测各领域中不同类型的波动,以结构化的视角把握我国宏观经济运行态势。
[Abstract]:In the context of global economic integration, the market-oriented characteristics of China's economic cyclical fluctuations become more and more prominent. Therefore, in order to ensure the steady and rapid development of the economy, it is necessary to monitor the macro-economy. The application of economic climate index has developed gradually. At the end of 1960s, The national Bureau of Economic research (nber) and the u. S. Department of commerce have developed the composite index, a tool for monitoring economic volatility, since it will only be in the upward and downward stages. Indicators are compared to simple values, It makes some people think that it lacks the support of rigorous mathematical models and the resulting results are not convincing enough. In addition, with the gradual development of the market economy in our country, there are different cycles of fluctuations in various areas of the macro economy. The interaction between these fluctuation cycles is a very complex process, which leads to the traditional single composite index system can no longer meet the needs of accurately and comprehensively reflecting the macroeconomic operation. Based on the above two problems, this paper based on the use of more rigorous mathematical model based on the Stock-Watson boom index to build a more comprehensive macroeconomic system of multi-dimensional framework boom analysis system. For prices, consumption, investment, exports, Automobile, real estate and macroeconomic aggregates respectively construct SW boom index, thus forming a multi-dimensional SW boom index monitoring system for China's macro economy. Compared with the traditional composite index and the SW boom index constructed in this paper, The results show that the SW boom index can accurately reflect the fluctuation of China's macro economy, and is more sensitive to the turning point of the economy. And the multidimensional framework boom analysis method can also make a more accurate and comprehensive analysis of China's macro-economy. To a certain extent, it can be used to determine in detail the driving factors that lead to each economic turn. Thus, it can provide more targeted policy advice for macro-control institutions to adjust and control the macro-economy in a more timely and effective manner. Compared with the traditional method, the method used in this paper has two main differences: first, the Stock-Watson boom index method used in this paper is based on a sound theoretical basis and a rigorous mathematical model of the index construction method. Compared with some traditional methods of constructing boom index, it has better logical rigor. Secondly, compared with the overall understanding of the current economic monitoring or macro-economic aggregate, this paper adopts multi-dimensional framework analysis method. To establish the boom index system for several important dimensions of the macro economy, monitor and predict the different types of fluctuations in various fields by synthetically considering the dynamic relations among the various dimensions of the macro economy. Grasp the situation of macro economy in our country from the perspective of structure.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F124;F224

【引证文献】