基于混频数据的消费者信心与中国宏观经济波动研究

Consumer Confidence and China’s Macroeconomic Fluctuations Based on Mixed Frequency Data

本文将消费者信心指数引入混频数据模型(MIDAS)中,考察经济新常态下对中国宏观经济波动的影响。基于消费者信心指数以及"三驾马车"对季度GDP增长率进行预测,结果显示:(1)引入消费者信心指数的混频数据模型较基准模型的预测精度比未引入的预测精度要高,均方根残差比值也更小;(2)多元混频预测中,引入消费者信心指数的混频回归模型对季度GDP增长率的实时预报与短期预测更趋稳定,能够提供更精准的参考区间;(3)在考察行为指标消费者信心指数对中国宏观经济的影响中,消费者信心指数在进行样本内预测时,宏观经济对消费者信心指数变动反应最为灵敏。本文为定量追踪宏观经济波动提供了一个新的视角。

This paper introduces consumer confidence index into MIDAS,and investigates the influence of consumer confidence index on China’s macroeconomic fluctuations under the new economic normal.Based on the monthly consumer confidence index,the export,the total retail sales volume of social consumers and the fixed asset investment,this paper predicts the quarterly GDP growth rate and reaches the following three conclusions.Firstly,according to the MIDAS that includes consumer confidence index,the prediction accuracy tends to be higher and the mean square residual ratio tends to be lower.Secondly,MIDAS with more variable is less volatile when consumer confidence index is included,so it can provide a more accurate reference range.Thirdly,compared with other variables,macroeconomy is more sensitive to the change of consumer confidence index.