基于中国实时数据的产出缺口估计及其修正——兼论中国产出缺口和通货膨胀之间的预测关系

An Estimation of the Output Gap Based on China′s Real-time Data and Its Revision:And on Forecasts Relationship between the Output Gap and Inflation

基于1994Q1-2008Q4的数据并分别利用三次趋势和HP滤波两种模型方法估计中国的实时、准实时和最终产出缺口,分析显示,这一时期中国的产出缺口遭受了较大而且高度持续的修正,说明中国的实时产出缺口和基于事后修正数据估计的产出缺口有很大不同。进一步比较实时产出缺口和最终产出缺口与通货膨胀之间的菲利普斯曲线预测关系,发现实时产出缺口的通胀预测表现显著好于最终产出缺口。由于货币政策决策总发生在"实时",不能等待事后产出缺口等数据信息的修正,因此,区分实时数据和事后修正数据对经济分析和政策决策而言可能就十分重要。

Based on the data from 1994 Q1 to 2008 Q4,this paper estimates China′s real-time,quasi real-time and final output gap by using Cubic Trends and HP Filter respectively.The analysis shows that China′s output gap during the period subjected to a large and highly persistent revision,indicating that there is a significant difference between the real-time output gap and the output gap based on the ex post revised data in China.Further comparison of the Phillips curve relationship between the real-time output gap and the final output gap with the inflation forecasts indicates that the inflation forecast performance of the real-time output gap is better than that of the final output gap.As monetary policy decisions always happen in ＂real time＂ and can not wait for the later revisions of output gap or other data,to distinguish real-time data and ex post revised data may be extremely important for economic analysis and policy decision.