中国宏观经济先行指数的构建
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摘要
文章利用时差相关分析和Granger因果检验研究了金融指标与宏观经济之间的关系,结果表明,股权分置改革以来,沪深300流动性、期限利差等金融指标相对于宏观经济具有较强的领先性。为了提高先行指标筛选的有效性与客观性,将PageRank算法的思想引入到经济先行指标筛选中,对主要金融经济指标的领先强度进行打分与分层,并根据筛选结果合成新的宏观经济先行指数。转折点识别和峰谷分析结果显示,2005年以来该指数相对于CEMAC先行指数具有更长且更稳定的领先期,对于经济运行的转折点具有更好的预警效果。
This paper uses cross correlation analysis and Granger causality test to study the relationship between financial variables and macro economy.The study results show that since the reform of equity division,the liquidity of HS 300 index,term spread and other financial indicators have a strong lead over the macro-economy.In order to improve the effectiveness and objectivity of leading index screening,the paper introduces the idea of PageRank algorithm into the screening of economic leading indicators to score and stratify the leading intensity of major financial and economic indicators,and then synthesizes the new macroeconomic leading index according to the screening results.The results of turning point identification and peak-valley analysis show that since 2005,the index has a longer and more stable leading period compared with the CEMAC leading index,and also has a better warning effect for turning points of economic operation.
This paper uses cross correlation analysis and Granger causality test to study the relationship between financial variables and macro economy.The study results show that since the reform of equity division,the liquidity of HS 300 index,term spread and other financial indicators have a strong lead over the macro-economy.In order to improve the effectiveness and objectivity of leading index screening,the paper introduces the idea of PageRank algorithm into the screening of economic leading indicators to score and stratify the leading intensity of major financial and economic indicators,and then synthesizes the new macroeconomic leading index according to the screening results.The results of turning point identification and peak-valley analysis show that since 2005,the index has a longer and more stable leading period compared with the CEMAC leading index,and also has a better warning effect for turning points of economic operation.
引文
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[8]乔柯南.煤炭企业经营状况与股票收益率的非同步波动[J].中国矿业大学学报,2013,42(1).
[9]贺腊容,黄创霞,凤华等.基于复杂网络的沪深300股票重要节点的评估和分析[J].经济数学,2016,33(3).
[10]Brin S,Page L.The Anatomy of a Large-scale Hypertextual Web Search Engine[J].Computer Networks and ISDN Systems,1998,(30).
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[16]Bry G,Boschan C.Cyclical Anaylsis of Time Series:Selected Procedures and Computer Programs[J].Journal of the Royal Statistical Society,1971,68(342)./
(1)月度GDP采用混频向量自回归(MF-VAR)模型,根据季度GDP和月度宏观经济数据估计得到,作为表征宏观经济运行情况的指标。
(2)正数表示最大时差相关系数对应的是金融指标领先月度GDP的阶数,负数表示最大时差相关系数对应的是金融指标滞后月度GDP的阶数。
(3)逆转指标为原指标关于的X轴的对称值,若某指标与经济增长呈负相关关系,则需进行逆转处理。
[2]Engle R F,Rangel J G.The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes[J].Review of Financial Studies,2006,21(3).
[3]Tharavanij P.Capital Market and Business Cycle Volatility[J].Mpra Paper,2007.
[4]N?s R,Skjeltorp J A,et al.Stock Market Liquidity and the Business Cycle[J].The Journal of Finance,2011,66(1).
[5]王平,张鸿武.我国股票市场与国民经济运行关系的实证研究[J].特区经济,2006,213(10).
[6]陈践.我国股票指数可以充当国民经济的“晴雨表”[J].经济师,2010,(10).
[7]刘向华,柳恩普.股票市场流动性与宏观经济的影响机制研究[J].华东经济管理,2013,27(8).
[8]乔柯南.煤炭企业经营状况与股票收益率的非同步波动[J].中国矿业大学学报,2013,42(1).
[9]贺腊容,黄创霞,凤华等.基于复杂网络的沪深300股票重要节点的评估和分析[J].经济数学,2016,33(3).
[10]Brin S,Page L.The Anatomy of a Large-scale Hypertextual Web Search Engine[J].Computer Networks and ISDN Systems,1998,(30).
[11]Wu D,Ke Y,Yu J X,et al.Leadership Discovery When Data Correlatively Evolve[J].World Wide Web,2011,14(1).
[12]Massimb M N,Phelps B D.Electronic Trading,Market Structure and Liquidity[J].Financial Analysts Journal,1994.
[13]Amihud Y.Illiquidity and Stock Returns:Cross-section and Time-series Effects[J].Journal of Financial Markets,2002,5(1).
[14]Choi W G,Cook D E.Stock Market Liquidity and the Macroeconomy:Evidence From Japan[J].IMF Working Papers,2004.
[15]Moore G H,Shiskin J.Front Matter,Indicators of Business Expansions and Contractions[J].Economica,1967,(17).
[16]Bry G,Boschan C.Cyclical Anaylsis of Time Series:Selected Procedures and Computer Programs[J].Journal of the Royal Statistical Society,1971,68(342)./
(1)月度GDP采用混频向量自回归(MF-VAR)模型,根据季度GDP和月度宏观经济数据估计得到,作为表征宏观经济运行情况的指标。
(2)正数表示最大时差相关系数对应的是金融指标领先月度GDP的阶数,负数表示最大时差相关系数对应的是金融指标滞后月度GDP的阶数。
(3)逆转指标为原指标关于的X轴的对称值,若某指标与经济增长呈负相关关系,则需进行逆转处理。