备受青睐的GDP季节调整

为反映GDP等经济指标的基本趋势,国际上通常的做法是对季度或月度相关原始数据进行季节调整。了解和掌握国际上通用的GDP季节调整方法,对于研究和制定适合我国国情的季度GDP季节调整方法具有重要意义。     

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。     

对我国2005～2006年经济增长态势的分析与预测

本文利用我国1989～2004年GDP的季度数据，建立一个能够有效模拟我国经济时间序列趋势、季节和周期变化的预测模型。在此基础上，对我国2005～2006年的GDP进行预测。预测结果表明2005～2006年我国经济增长呈现“前快后缓”的态势，整体呈现下降的趋势，说明我国宏观经济政策对经济过热的抑制已发生作用，经济增长控制在健康快速的状态。     

人民币实际汇率与中国进出口贸易结构变迁(1997～2007年)——基于多种模型的动态分析

为分析人民币实际汇率对中国进出口贸易结构变迁的影响,基于1997～2007年季度SITC二位数水平下的中国进出口贸易面板数据、人民币实际汇率和中国及其贸易伙伴GDP季节时序数据,本文对相关变量进行了异质面板和单时序季节单整和协整检验,并进一步构建异质面板季节误差修正模型,对人民币实际汇率对中国进出口贸易结构变迁的长短期动态影响进行了实证分析,并针对中国当前的对外经贸和宏观经济发展现状提出了相应的政策建议。     

基于季节模型的中国社会消费品零售总额分析

本文选取了我国1993年第一季度至2018年第一季度的全国社会消费品零售总额的季度数据,运用SARIMA模型和X-12季节调整模型分别进行分析预测。以2016年第一季度至2018年第一季度的真实值进行预测能力检验,结果发现X-12季节调整模型的预测精度更高,并运用此模型进行外推预测。     

基于混频回归类模型对中国季度GDP的预报方法研究

根据混频数据计量经济模型的建模理论和分析技术,本文构建了中国季度GDP 5种不同权重函数的混频数据回归预测模型（MIDAS）和非限制MIDAS模型。结合传统分布滞后模型推导出MIDAS模型的最小二乘识别方法,并在此基础上对中国季度GDP进行短期预报,分析了高频解释变量滞后阶数变化效应及其对低频变量GDP的影响效应。根据6种模型拟合及预测结果,进一步构建混频回归联合预测模型,并考察了混频回归联合预测模型的预测精度及预测效果。研究结果表明：非限制混频数据回归预测模型的预测精度及拟合效果高于5种不同权重MIDAS模型,以BIC为权重构建的混频联合预测模型在对我国季度GDP短期预报时表现最优。     

基于X12-ARIMA加法模型的保费收入研究

文章基于1999年1月～2011年8月中国保费收入月度数据,采用当下最为热门的季节调整方法X12-ARIMA加法模型,对其进行季节调整,得到经调整后的时间序列和季节调整因子,在假设季节调整因子短期内不发生变化的条件下,采用两种模型估计方法建立经调整后的时间序列模型,从而建立中国保费收入月度数据短期预测模型。     

2003年中国宏观经济发展趋势的分析与预测

2003年1季度，中国宏观经济延续2002年的良好态势，在加快结构调整的过程中，继续稳步增长，GDP增长率高达9．9％。但是由于美伊战争等国际不确定性因素使得全球经济前景扑朔迷离，我国目前的非典型肺炎等国内不确定性因素可能带来的经济冲击难以估量，我国经济能否继续保持较高的增长速度是人们普遍关心的问题。本文使用多种预测模型及“宏观经济监测预警系统”，对2003年我国宏观经济发展趋势进行了分析与预测。     

中国季度潜在产出与产出缺口的再估算——基于不可观测成分模型的贝叶斯方法

本文运用不可观测成分模型及贝叶斯方法对中国的潜在GDP和产出缺口进行估计。结果表明,产出缺口能较为精确地反映中国经济所面临重要事件的冲击效应以及经济周期的变化信息;外部突发因素和经济政策是导致中国产出缺口波动和经济周期形成的双重主导力量;中国面临潜在GDP增长率逐步下行和实际GDP更趋向低于潜在GDP的双重压力。本文的政策含义是,通过激发经济增长的内生动力,同时适度降低对外依赖,是维持中国经济在一个适度潜在增长率以及产出缺口波动相对较平稳状态的必要手段。     

景气形势、物价与宏观调控——利用STR模型对经济形势的分析

本文基于改进后的经济景气分析系统、宏观经济监测预警信号系统和STR等多种经济计量模型,对2010年的经济形势进行了分析和预测。预计2010年经济增长可能达到10%。1999年以来,物价随景气状况的改变呈现出状态转换的非线性变动特征。CPI从2009年4季度开始进入新一轮物价上涨周期,预计2010年CPI上涨3.2%,出现温和通货膨胀,但从2010年4季度开始物价上涨压力有望逐渐减缓。     

2010,中国经济展望

2009年,在经历金融危机的洗礼后,全球经济演绎了由低谷上行的走势。2010年,加息及退出政策渐行渐进,中国以及世界经济又将走出何种轨迹?     

扩大中国养老保障覆盖率的对策分析

中国目前的养老保障覆盖率远低于世界发达国家的平均水平。随着中国经济的持续增长,如何在国家财政可承受的范围内,尽快而有效地扩大包括非城镇人口在内的养老保障覆盖率,是一个亟待研究和解决的问题。文中分析比较了中国与美国、德国、英国、法国、日本、新加坡、智利等国养老保障体系的异同点,探讨了人口与GDP,养老金债务与GDP之间的关系,提出了扩大中国养老保障覆盖率的建议性对策。     

Examining the quality of early GDP component estimates

In this paper we examine the quality of the initial estimates of headline GDP and 10 major components of both real and nominal U.S. GDP. We ask a number of questions about various characteristics of the differences between the initial estimates, available one month after the end of the quarter, and the estimates available three months after the end of the quarter. Do the first estimates have the same directional signs as the later numbers? Are the original numbers unbiased estimates of the later figures? Are any observed biases related to the state of the economy? Finally, we determine whether there is a significant difference between the vector of the 30-day estimates of the 10 major components and the vector of the 90-day estimates of the same components. We conclude that, under most circumstances, despite the existence of some bias, an analyst could use the early data to obtain a realistic picture of what had happened in the economy in the previous quarter.     

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model: An application to the German business cycle

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany, preselected from a broader set using the elastic net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show that a two-state model is not sensitive enough to detect relatively mild recessions reliably when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to distinguish normal and severe recessions clearly, so that the model identifies all business cycle turning points in our sample reliably. In a real-time exercise, the model detects recessions in a timely manner. Combining the estimated factor and the recession probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1, and a correct prediction of the timing of the Great Recession and its recovery one quarter in advance.     

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.     

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.     

Stable seasonal pattern models for forecast revision: A comparative study

Many firms prepare forecasts at the beginning of each financial quarter that predict total sales over the upcoming quarter. Such forecasts may be used to make financial projections, or to plan manufacturing capacity and materials purchases. As weekly sales are recorded during the quarter, these quarterly forecasts are often revised, allowing plans and projections to be adjusted appropriately. A formal basis for these forecast revisions may be found in so-called stable seasonal pattern models, which are based on the observation that in many instances, the sales that accrue during a given period of a quarter follow a regular pattern. This paper discusses a number of stable seasonal pattern models – several from the literature, two that are novel – which have been evaluated for making forecast revisions at Sun Microsystems, Inc. Commonalities between the models are elucidated using a general theoretical framework, and a straightforward sample-based mechanism is described that affords great flexibility in the design and use of stable seasonal pattern models. The paper culminates in a detailed comparison of the performance of new and existing stable seasonal pattern models with respect to Sun's sales data.     

Europe

While the latest Eurozone activity news has by no means been all positive, it has provided enough grounds to suggest that the solid pace of GDP growth recorded in the first half of the year was maintained in Q3. Our GDP indicator points to quarterly GDP growth of about 0.4% last quarter.     

Forecast Summary

Even if output recovers in the second quarter (as we expect), it looks as if there will be no increase in GDP this year in comparison with 1991. This reflects the weak start to the year, in which non-oil output registered its seventh successive quarterly decline. Through the year (fourth quarter to fourth quarter), however, we expect GDP to rise 1.5 per cent, laying the basis for a stronger recovery in 1993. Even so, it is not until late next year that output returns to its previous peak Paradoxically, we have raised our forecast of domestic demand from February (on a milder stock rundown) but imports are taking a disproportionate amount of the extra demand, holding back domestic output and aggravating the current account deficit. From nearly £9bn this year, we see the deficit rising to over £14bn by the middle of the decade, equivalent to 1³/4 per cent of GDP. While this is disappointing, it should be relatively easily financed even with lower interest rates providing the pound is held at its present DM 2.95 parity. we assume no ERM realignment which underpins a further drop in inflation to 4 per cent later this year and to 3-3 1/2 per cent by the mid 1990s. The weakness of output means that unemployment continues to rise for another 12 months, peaking in the middle of 1993 at three million, and that public sector finances will move still further into deficit - we project a PSBR this year of £30bn and a peak of £34bn in 1993-4, equivalent to 5 1/4 per cent of GDP.     

Eurozone

GDP growth in Q3 was revised up from 0.6% to 0.7%. This followed a consistent trend over the past year, which has seen the initial GDP flash estimate being revised up by 0.1–0.2% a quarter.