投资者信心和中国宏观经济波动——基于MIDAS混频模型  

Investor Confidence and Macroeconomic Fluctuation in China:a Mixing Model Based on MIDAS

作　　者：姜伟[1] Jiang Wei(School of Economics,Qingdao University,Qingdao 266071,China)

机构地区：[1]青岛大学经济学院,山东青岛266061

出　　处：《东方论坛（青岛大学学报）》2022年第1期87-103,共17页Eastern Forum（JOURNAL OF QINGDAO UNIVERSITY）

基　　金：国家社会科学基金项目“货币政策通过影响信心实现稳增长的机理与对策研究”(20BJL020)的阶段性成果。

摘　　要：将投资者信心指数引入MIDAS混频模型之中,可以考察新冠疫情背景下投资者信心对于中国宏观经济波动的影响。基于投资者信心指数和“三驾马车”对我国季度GDP增长率进行预测,通过实证发现:引入投资者信心指数的MIDAS混频模型在预测精准度方面和基准模型进行比较,预测精准度高于未加入投资者信心的模型,均方根残差比值更小;在多元MIDAS混频模型之中,加入投资者信心指数的回归模型对我国GDP的实时预报和短期预测结果更加稳定,可为决策者提供更加精确的参考区间;宏观经济的波动对投资者信心指数变化反应,和投资、消费和进出口相比是最灵敏的。这为定量追踪宏观经济波动提供了一个新的视角。This paper analyses the transmission mechanism of investor confidence on the economic impact by adding the investor confidence index to the MIDAS model.Based on the investment confidence index and the troika,we forecast the quarterly GDP growth rate of our country.Through empirical research,we come up with three findings:(1)compared with the benchmark model,the MIDAS data model with investor confidence index has higher prediction accuracy than the model without investor confidence,and the root mean square residual ratio is smaller;(2)in the multi MIDAS model when the regression model with investor confidence index is used to forecast China’s GDP in real-time and short-term,the forecast results are more stable and can provide a more accurate reference range for the reference;(3)the response of macroeconomic fluctuations to the changes of investor confidence index is the quickest compared with investment,consumption and import and export.This study provides a new perspective for quantitative tracking of macroeconomic fluctuations.

关 键 词：投资者信心指数 MIDAS模型 经济增长 预测 

分 类 号：F272.1[经济管理—企业管理]