本文關鍵詞：中國金融指標對宏觀經濟動態(tài)的預測能力研究　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

  更多相關文章： 金融穩(wěn)定 金融壓力 MIDAS模型 宏觀經濟預測

【摘要】：宏觀政策制定者在設定決策目標時,維持價格水平穩(wěn)定并保持經濟持續(xù)增長是最佳目標組合�？v觀各國經濟發(fā)展史,可以發(fā)現經濟的發(fā)展總是圍繞其均衡狀態(tài)上下波動,這就要求政策制定者能夠準確預測未來宏觀經濟動態(tài)的變化趨勢,進而制定相機抉擇的貨幣政策和財政政策以保證經濟目標的實現。不僅如此,宏觀經濟增長狀況也經常被用于綜合衡量一個國家或地區(qū)經濟發(fā)展的水平,其動態(tài)不但影響政策制定者制定經濟政策,也對企業(yè)和個人的投資決策起決定性的作用,因此預測宏觀經濟動態(tài)的趨勢是當前宏觀經濟與政策研究的重大課題之一。本文在研究了國內外關于宏觀經濟預測理論的文獻的基礎上,總結了國內外學者對宏觀經濟進行預測的理論基礎和研究方法,從金融穩(wěn)定性和金融系統(tǒng)壓力狀況兩個角度分析了金融體系與宏觀經濟的關聯(lián)性和傳導機制,總結了國內外主要文獻對于金融穩(wěn)定性和金融系統(tǒng)壓力狀況的度量方式,在結合中國金融體系的實際情況的基礎上擬合出金融穩(wěn)健指數和金融壓力指數,并利用h步向前的MIDAS模型考察上述兩個合成指標對宏觀經濟趨勢的預測能力。研究發(fā)現,金融穩(wěn)健指數和金融壓力指數不但對同頻的宏觀經濟景氣指數的一致指數有較好的預測能力,對于數據頻率不同的GDP增長率也有同樣良好的混頻預測能力,且金融穩(wěn)健指數領先宏觀經濟指標13個月,可以用來預測宏觀經濟走勢的中長期走勢;金融壓力指數則領先于宏觀經濟指標4個月,可以用來預測宏觀經濟短期內的動態(tài)趨勢。隨后,本文還根據上述研究結果對我國下一階段的經濟政策做出建議。
[Abstract]:Policy makers in the setting of the decision goal, maintaining price stability and sustained economic growth is the best goal of the economic development of countries throughout history. The combination can be found, the economic development is always around the equilibrium state of fluctuation, which requires policy makers to accurately forecast the future trend of macroeconomic trends, and make the camera the choice of monetary policy and fiscal policy in order to ensure the realization of economic goals. Moreover, the macro economic growth that is often used to measure a country or region's economic development level, the dynamic impact not only on policy makers to make economic policy, also to the enterprise and individual investment decision play a decisive role, so the prediction of macro dynamic economic trend is one of the important topics of current macro economic and policy research. Based on the research at home and abroad on the macro economy Based on the literature prediction theory, summarizes the theoretical basis and research methods for prediction of macro economic scholars at home and abroad from two aspects of financial stability and financial pressure situation analysis system connection and transmission mechanism of financial system and macro economy, summarizes the main domestic and foreign literature about the measurement of financial stability and financial system the pressure condition, fitting out the financial stability index and financial stress index based on combining the actual situation of China in the financial system, and use h MIDAS model to step forward on the two synthetic indicators of macroeconomic trends forecast ability. The study found that the financial index and financial index with steady pressure index not only on the same frequency the macroeconomic climate index has a good predictive ability for different frequency data, GDP growth rate also has good prediction ability of mixing, And the financial stability index of leading economic index for 13 months, the long-term trend can be used to predict macroeconomic trends; financial pressure index is ahead of macroeconomic indicators for 4 months, can be used to predict the short-term macroeconomic dynamic trend. Then, according to the research results of China's economy in the next stage to make policy recommendations.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F124;F832

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本文編號：1406992