• 论文 •

### 基于混合数据的一致指数构建与经济波动分析

• 出版日期:2015-08-15 发布日期:2015-08-18

### Research on the Coincident Index and Economic Fluctuations in China with Mixed-frequency Data

Ye Guang

• Online:2015-08-15 Published:2015-08-18

Abstract: In this paper, we develop a dynamic factor model with mixed-frequency series of GDP quarterly year-on-year growth rate and other monthly economic indicators, in which the factor in GDP growth rate is taken as the cyclical component of economic activity, and the path of response to the same exogenous shocks of each variable is different. Using this model, we extract a new coincident index to describe China’s economic conditions, and investigate the characteristics of China’s economic cyclical fluctuations. The results show that this new coincident index is basically consistent with variation of the growth rate of real output; the first signs of recent decline became visible in June 2010, and the pace of decline has moderated since August 2012. Furthermore, we find that the persistence of output fluctuations in China is very high, so the government should reduce the excessive intervention to the microeconomic behavior, offer bigger role for markets in resource allocation, to improve the economic self-adjusting ability gradually.