中国经济高频合成指数的设计与应用

The Design and Application of High Frequency Synthetic Indices for the Chinese Economy

本文基于16个高频指标构建ICHI指数体系((1))。这16个先行指标分别来自消费、投资、出口和生产四个层面,基于对指标周度变动率的计算,本文通过标准化和逆转换得到了最终合成指数(包括消费景气指数、投资景气指数、出口景气指数、生产景气指数及综合景气指数)。通过拟合检测,本文发现5个高频景气指数均能较好地模拟中国经济活动短期内的运行状况。ICHI指数体系不仅丰富了宏观经济分析的工具箱,也为政策制定者和市场参与者提供了实时数据和预测工具。相比于2023年三季度,进入2023年四季度后,ICHI综合指数继续走强,而且消费、投资、出口和生产四个子指数在四季度表现均好于三季度,表明中国经济内生动力不断增强、有望在2024年加速回暖。

This paper constructs an ICHI index system based on 16 high-frequency indicators to assess operating conditions in the Chinese economy.These 16 leading indicators are derived from four sectors:consumption,investment,exports and production.Based on a calculation of the weekly rate of change of the indicators,this paper obtains final synthetic prosperity indices for these sectors through normalization and inverse transformation.It also produces a composite index comprised of these sector components.The ICHI index system not only enriches the toolbox of macroeconomic analysis,but also provides real-time data and forecasting tools for policymakers and market participants.The ICHI composite index continued to strengthen in the fourth quarter of 2023 compared with the third quarter,and the four sub-indices of consumption,investment,export and production all performed better quarter-on-quarter in the same three-month period.This suggests that China's economy has continued to show stronger internal dynamics and an accelerated rebound is likely to have been achieved in 2024.