基于状态空间模型的中国季度GDP季节调整(1996～2009年)

中国迄今为止尚未公布包括季度GDP在内的经季节调整的经济指标数据,这不仅不利于对中国宏观经济运行监测,也无法满足国际比较的迫切需要。本文对中国1996年一季度至2009年四季度的实际GDP构建基于状态空间形式的季节调整模型,通过卡尔曼滤波递推算法对状态向量的各分量进行了最优估计、平滑和预测,并对超参数进行了极大似然估计。在此基础上分析了这一期间中国GDP的主要季节和趋势特征,并计算出了季节调整后的季度环比增长率指标用来分析和监测经济走势,鉴别趋势拐点,制定相关经济政策。最后通过与国际通用的TRAMO-SEATS季节调整模型的对比发现其优越性。     

Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints

The paper estimates a large‐scale mixed‐frequency dynamic factor model for the euro area, using monthly series along with gross domestic product (GDP) and its main components, obtained from the quarterly national accounts (NA). The latter define broad measures of real economic activity (such as GDP and its decomposition by expenditure type and by branch of activity) that we are willing to include in the factor model, in order to improve its coverage of the economy and thus the representativeness of the factors. The main problem with their inclusion is not one of model consistency, but rather of data availability and timeliness, as the NA series are quarterly and are available with a large publication lag. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account. These are of two kinds: nonlinear temporal aggregation constraints, due to the fact that the model is formulated in terms of the unobserved monthly logarithmic changes, but we observe only the sum of the monthly levels within a quarter, and nonlinear cross‐sectional constraints, since GDP and its main components are linked by the NA identities, but the series are expressed in chained volumes. The paper provides an exact treatment of the observational constraints and proposes iterative algorithms for estimating the parameters of the factor model and for signal extraction, thereby producing nowcasts of monthly GDP and its main components, as well as measures of their reliability.     

Eurozone

Based on the available monthly data, the eurozone economy continued to expand at a steady, albeit weak, pace at the end of 2019. The composite PMI rose to a four-month high in December, boosted by stronger activity in services. That said, its Q4 average was still below the Q3 level, suggesting that GDP growth will have remained moderate in the final quarter of last year.     

中国GDP的趋势循环分解及其政策含义

本文对UC模型、B-N分解和HP滤波的关系进行研究,并结合中国GDP的数据特征设定UC模型结构,使用1992～2010年的季度数据对实际GDP的趋势成分和循环成分进行估计,实证结果表明2000年到金融危机爆发之前,随机冲击对中国经济长期趋势的正向推动不断加大,自然灾害对长期趋势的影响有限,两次金融危机的影响非常严重;经济波动的正负交替频繁且周期性特征不明显,波动幅度总体呈下降趋势,但2007年后有所加剧;产出缺口对通货膨胀的影响显著,但存在一定的滞后性。     

Reducing government debt in the presence of inequality

What are the welfare effects of government debt? In particular, what are the welfare consequences of government debt reductions? We answer these questions with the help of an incomplete markets economy with production. Households are subject to uninsurable income shocks. We make several contributions. First, by targeting the skewed wealth and earnings distribution of the US economy in our calibration, we identify inequality as the major driver of the welfare effects of public debt/GDP changes. Second, we show that in order to fully gauge the welfare consequences and the political feasibility of government debt changes, it is crucial to consider the transitional dynamics between stationary equilibria. Our results therefore have important implications for the design of debt reduction policies. Since the skewed wealth distribution generates a large fraction of borrowing-constrained households, a public debt reduction should be non-linear, such that the tax burden is postponed into the future.     

United States

Real GDP growth for the second quarter was revised up to an annualized rate of 4.6%, from a second estimate of 4.2%, as final sales advanced 3.2% and inventories contributed 1.4 percentage points to growth. Business investment stole the limelight with a 9.7% advance, while consumer outlays contributed 1.8 percentage points to growth. Newly available data for Q2 also led to an upward revision of residential investment, and a stronger net trade contribution. We expect the economy to grow by just over 3% in Q3, with the economy expanding 2.2% in 2014 as a whole and 3.1% in 2015…     

United States

The US economy was slow out of the gates in 2018, recording GDP growth of only 2.0% on a quarter‐on‐quarter annualized basis in Q1. The softness was primarily driven by weaker consumer spending (up 1.0%), though business investment grew at its fastest pace since 2014, up 10.4%. This kept momentum quite solid, with real GDP up by 2.8% year‐on‐year in the first quarter.     

A comprehensive evaluation of macroeconomic forecasting methods

We employ datasets for seven developed economies and consider four classes of multivariate forecasting models in order to extend and enhance the empirical evidence in the macroeconomic forecasting literature. The evaluation considers forecasting horizons of between one quarter and two years ahead. We find that the structural model, a medium-sized DSGE model, provides accurate long-horizon US and UK inflation forecasts. We strike a balance between being comprehensive and producing clear messages by applying meta-analysis regressions to 2,976 relative accuracy comparisons that vary with the forecasting horizon, country, model class and specification, number of predictors, and evaluation period. For point and density forecasting of GDP growth and inflation, we find that models with large numbers of predictors do not outperform models with 13–14 hand-picked predictors. Factor-augmented models and equal-weighted combinations of single-predictor mixed-data sampling regressions are a better choice for dealing with large numbers of predictors than Bayesian VARs.     

Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data

This paper discusses a factor model for short-term forecasting of GDP growth using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM algorithm, combined with a principal components estimator. We discuss some in-sample properties of the estimator in a real-time environment and propose alternative methods for forecasting quarterly GDP with monthly factors. In the empirical application, we use a novel real-time dataset for the German economy. Employing a recursive forecast experiment, we evaluate the forecast accuracy of the factor model with respect to German GDP. Furthermore, we investigate the role of revisions in forecast accuracy and assess the contribution of timely monthly observations to the forecast performance. Finally, we compare the performance of the mixed-frequency model with that of a factor model, based on time-aggregated quarterly data.     

Volatility, growth, and welfare

This paper constructs an endogenous growth model driven by self-fulfilling expectation shocks to explain the stylized fact that the average growth rate of GDP is related negatively to volatility and positively to capacity utilization. The implied welfare gain from further stabilizing the U.S. economy is about a quarter of annual consumption, which is consistent in order of magnitude with estimates based on the empirical studies of Ramey and Ramey (1995) and Alvarez and Jermann (2004). Hence, policies designed to reduce fluctuations can generate large welfare gains because smaller fluctuations are associated with permanently higher rates of growth.     

Japan

The final Q2 GDP growth estimate was revised up slightly to 0.2% quarter‐on‐quarter. This was slightly higher than the initial estimate of zero but it still represents a slowdown from the 0.5% growth in Q1. Household spending held up better than projected. Private residential investment also surprised on the upside, surging 5% in the quarter, while public spending made another solid contribution to GDP growth. However, export volumes fell 1.5% on the quarter, with both goods and service exports falling.     

How sustainable is the Japanese recovery?

For nearly two years the Japanese economy has grown significantly faster than commentators expected, raising the question of whether the country has finally broken out of its long economic malaise. This article by Simon Knapp examines recent developments to see whether this recovery is sustainable. It argues that over the last year the recovery has broadened out beyond merely the export sector, although there are good reasons to believe that growth as measured by GDP has been overstated and that many serious structural problems remain. Business investment has surged on the back of rising profitability and an improved labour market has helped lift consumer confidence. At the same time the paper recognises the importance of China's boom in stimulating the Japanese economy over the last two years, and estimates that this factor may have boosted the level of GDP by between 1 to 2%. With Chinese growth now moderating to more sustainable levels, export growth will slow over the next year or so. However, domestic demand should now be strong enough, in the absence of major external shocks, to generate GDP growth of around 1.5 to 2% per annum in the medium term; a respectable figure given the country's falling population.     

GDP Estimates: Rationality Tests and Turning Point Performance

The reliability of BEA’s estimates, as measured by the magnitude and pattern of revisions, is highly important to economic policy-making and business decisions. We find evidence that the revisions are partially predicable using contemporaneously available information for the current quarterly estimates of GDP. Information about national income is found to significantly supplement the information found in the final current quarterly estimates of GDP in explaining the revisions to the latest-available estimates of GDP. However, there is little evidence of the predictability of revisions in GDI or national income. Finally, both the advance and final current quarterly estimates are found to do a reliable job of measuring GDP and GDI around cyclical peaks, but a less reliable job around cyclical troughs, the declines preceding the troughs are overstated and the upturns after the troughs are understated. An earlier and somewhat expanded version of this paper, “Revisions, Rationality, and Turning Points in GDP,” was presented at the session “Tracking the Turning Points in the Economy,” AEA meetings January 3–5 2003, Washington DC. It is available in the “working papers” section of BEA’s web site, www.bea.gov     

Business,housing, and credit cycles

We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium‐term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real‐time estimates of credit and house price cycles is roughly comparable to that of GDP cycles.     

Forecast Summary

Although hard evidence of recovery is still elusive, our forecast indicates that the trough of the recession occurred in the second quarter and that output fell 4 per cent peak-to-trough. We estimate that GDP rose 112 per cent in the third quarter - though only because of a rebound in North Sea oil production - and that for 1991 CIS a whole it will be 2 per cent down on 1990 levels. Next year GDP is forecast to rise 2 per cent but it is not until 1993 that the 1990 output peak is passed. Unemployment therefore still has a considerable way to rise - to a peak of 2.8 million in 1993. In the first year of full EMS membership, the economy has made an accelerated transition to European levels of inflation. Against a background of modest growth, it should be possible to consolidate this progress and we expect retail price inflation to average little more than 3 per cent over the next four years. Similar rapid progress has been achieved on the balance of payments where there is a trade surplus on manufactured goods for the first time since 1982. Here, however, we are less confident that the reduction in the trade gap can be sustained. In the recovery phase we expect imports to rise more rapidly than exports with the result that the current account deficit rises from £6bn this year to £8bn in 1992 and £10bn-£12bn in 1993-5.     

United States

Real GDP rose 3.9% in Q2 2015 as final sales rose 3.9% and the inventory contribution to growth was flat. Consumer spending grew 3.6% and contributed 2.4 percentage points to GDP growth. Business investment grew 4.1% on stronger structures and intellectual property spending. Residential investment meanwhile grew a fairly solid 9.4% in the quarter. Lastly, net foreign trade and government spending contributed 0.2 and 0.5 percentage points to growth respectively. The economy grew 2.4% in 2014 and we expect GDP growth will accelerate to 2.5% in 2015.     

Eurozone

The recent flow of economic data supports the view that Q1 will have seen stronger quarterly GDP growth than Q4's 0.4% gain. Indeed, given the composite PMI's healthy end to Q1, the strength seen in Q1 may continue next quarter. As a result, we have upgraded our forecast for GDP growth in Q2 and now pencil in a second consecutive quarterly gain of 0.5%.     

United States

Annualised real GDP growth came in at −0.2% in Q1. Final sales fell 0.6% and inventories added 0.5 percentage point (pp) to growth in the first quarter. Consumer spending rose 2.1% and contributed 1.4 percentage points to GDP growth. Business investment fell 2.0% on a massive 18% plunge in non‐residential structures, while net foreign trade and government spending exerted 1.9 and 0.1 pp drags on growth respectively. The soft Q1 has led us to revise down our 2015 GDP growth forecast from 2.7% in April to 2.3% now. We expect the US economy to grow by 2.8% in 2016.…     

The impact of oil price changes on selected macroeconomic indicators in Azerbaijan

We examine the relationship between oil price fluctuations and economic activity in Azerbaijan using vector autoregressive models for the period 2002Q1–2018Q4. Our key results are as follows. First, growth in the gross domestic product (GDP) decreases after oil price innovations in the oil and gas sector and in the remainder of the economy. Downturns (upswings) in the oil and gas sector also prompt downturns (upswings) in the non-oil sector as fluctuations in oil revenues affect the government's capacity to subsidize the rest of the economy. Second, oil price innovations also lead to higher inflation in Azerbaijan. In response to the required tightening of monetary policy, the manat appreciates against the US dollar. Finally, GDP effects are primarily seen after oil price increases, whereas the interest rate and the exchange rate mainly react to decreases. Inflation increases after both types of shocks, due to either the accommodative monetary policy stance in the case of oil price decreases or the shock itself in the case of increases.     

Europe

The Eurozone economy may have lost some momentum in the course of Q2, based on business surveys for the period. Admittedly, the falls in the composite PMI in May and June were pretty small and on past form the PMIs still point to slightly stronger quarterly GDP growth than the 0.2% recorded in Q1. But given the sharp falls in German, French, Italian and Spanish industrial production in May and subdued Eurozone retail sales figures for the first two months of the quarter we suspect that Eurozone GDP growth is unlikely to have picked up in Q2…