中国制造业PMI的经济预测效应研究  

Research on Economic Forecasting Effect of China’s Manufacturing PMI

作　　者：刘仁军[1] 马樱格 Liu Renjun;Ma Yingge(School of Business Administration,Zhongnan University of Economics and Law,Wuhan 430073,China;School of Statistics and Mathematics,Zhongnan University of Economics and Law,Wuhan 430073,China)

机构地区：[1]中南财经政法大学工商管理学院,武汉430073 [2]中南财经政法大学统计与数学学院,武汉430073

出　　处：《统计与决策》2022年第18期97-102,共6页Statistics & Decision

基　　金：国家社会科学基金资助项目(20BJY188)。

摘　　要：文章选取GDP、工业、房地产、物流、国际贸易和消费相关指标,建立其与制造业PMI的VAR模型,通过格兰杰因果关系检验、脉冲响应分析和方差分析探究制造业PMI对经济的预测作用。结果表明:(1)制造业PMI对港口货物吞吐量同比增长率有提前1个月的预测效应,对工业增加值、货运量、货物周转量同比增长率和房地产投资累计增长率有提前2个月的预测效应,对PPI、国际贸易和CPI有提前3个月的预测效应,对GDP同比增长率有提前6个月的预测效应。脉冲响应分析结果表明,PMI对宏观经济、生产、流通和消费各环节的影响均是正向的,且影响效应逐渐减弱。制造业PMI对宏观经济的预测效应主要通过工业和物流活动逐步传递到其他经济领域。解释度方面,工业最高,国际贸易次之,再次为物流,房地产和消费相对较低。This paper selects indicators related to GDP,industry,real estate,logistics,international trade and consumption to establishes the VAR model for them and manufacturing PMI,and then conducts Granger causality test,impulse response analysis and variance analysis to explore the forecasting effect of manufacturing PMI on the economy.The results go as below:Manufacturing PMI has a forecasting effect of 1 month in advance on the year-on-year growth rate of port cargo throughput,2 months in advance on the year-on-year growth rate of industrial added value,freight volume,cargo turnover and the cumulative growth rate of real estate investment,3 months in advance on PPI,international trade and CPI,and 6 months in advance on the year-on-year GDP growth rate.Impulse response analysis results show that PMI has a positive impact on macro economy,production,circulation and consumption,with its impact gradually weakening,that the forecasting effect of manufacturing PMI on macro economy is gradually transmitted to other economic sectors mainly through industrial and logistics activities,and that in terms of explanation,industry is the highest,followed by international trade,logistics,with real estate and consumption to be relatively lower.

关 键 词：制造业PMI 经济预测效应 VAR模型 格兰杰因果关系检验 

分 类 号：F201[经济管理—国民经济]