基于混频数据模型的M0短期预测

Forecasting of China's M0 in Short-term: Based on Mixed-frequency Data ADL-MIDAS Model

现阶段M0运行规律发生的深刻变化客观上对预测模型提出了更高要求。通过构建ADLMIDAS模型,从不同权重函数形式和预测方法的组合模型中得出最优预测模型,运用包含更多信息的混频数据对我国M0进行短期预测。预测结果显示,2018年M0增速将维持在5%以下,M0总量将处于7万亿—7.4万亿的区间,未来四年M0运行趋势依赖于宏观经济走势和非现金支付发展,M0增速和总量将在3%—8%以及7万亿—10万亿之间大幅波动。

At present,the changes of M0 operation rule have raised higher requirements on the prediction model.This paper employed ADL-MIDAS model,selected optimal forecasting model from different model combinations,and forecasting M0 in the short-term with more information of mixed frequency.The forecasting results show that M0 growth will be maintained below 5%in 2018,and the total M0 will be in the range of 7-7.4 trillion.The M0 operation trend in the next four years depends on the macroeconomic cycle and non-cash payments,the M0 growth and total volume will fluctuate between 3%-8%and 7-10 trillion.