中国月度GDP同比增长率估算与经济周期分析  

Estimation of China's Monthly GDP Year on Year Growth Rate and Business Cycle Analysis

作　　者：高华川[1] 白仲林[1,2] 

机构地区：[1]天津财经大学统计系 [2]中国数量经济学会

出　　处：《统计研究》2016年第11期23-31,共9页Statistical Research

基　　金：国家自然科学基金项目"具有Markov体制转换动态因子模型建模方法及其应用研究"(71271142);天津市哲学社会科学研究规划项目"大数据背景下的宏观经济实时预测"(TJTJ16-001Q)资助

摘　　要：为了充分利用我国同比数据的优势、准确反映和及时调控宏观经济,本文提出一种估计同比数据混频近似因子模型的EM算法,并得到了我国月度GDP同比增长率的估计,然后利用此指标分析了我国经济波动的周期性。研究发现,月度数据的局部极差大于季度数据,尤其在宏观经济经历严重外部冲击时期,月度和季度GDP增长率数据相差较大,即季度GDP平滑了经济的波动性,低估了外部冲击效应。另外,月度GDP增长率数据能够更加精确、及时确定经济周期的转折点。In order to take full use of the advantages of China＇ s year on year data, and to regulate China＇ s macro- economy timely, this paper proposes an EM algorithm to estimate the mixed frequency approximate factor model, and gets the estimation of China＇ s monthly GDP year on year growth rate. We use the estimated year on year monthly GDP growth to analyze China＇ s business cycle. We found that the local range of monthly GDP is greater than that of quarterly GDP, especially during the period in which the economy undergoes large external shocks. This indicates that quarterly GDP smoothed the volatility of the economy, thus underestimate the impact of external shocks. In determining the turning points of the economy cycle, the monthly GDP is more precise and timely than the quarterly GDP.

关 键 词：月度GDP同比增长率 混频近似因子模型 经济周期 

分 类 号：C812[社会学—统计学]