中国宏观经济先行指数的构建

Construction of China's Macroeconomic Leading Index

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.