中国宏观经济情境设计与路径预测

摘要/Abstract

摘要： 路径预测是通过构建联合置信区间来获得未来多期预测的可能范围,覆盖了中国宏观经济的可能运行路径。通过系统迭代和直接预测方法对我国宏观经济中的产出,通胀和利率进行蒙特卡洛模拟和路径预测,并在特定宏观经济情景下进行伪样本外条件路径预测。基于中国数据的蒙特卡洛模拟结果显示Scheffé方法构建的预测路径具有合理的路径覆盖范围,是判定预测不确定性的合理且有效方法,伪样本外条件路径预测显示合理的情境设计能够得出更为有效的预测路径。

关键词: 路径预测, 不确定性, 情境设计, VAR, 局部投影, GDP, 通货膨胀

Abstract: Path forecast refers to constructing simultaneous confidence regions of multi-step forecast, which is a reasonable summary of possible path in China economy. In this paper, iteration and direct forecast method is performed to construct the path forecast of output, inflation and interest rate and Monte Carlo simulation is performed. Pseudo out of sample path forecast with scene design of Chinese macroeconomic is also conducted. The results based on Chinese data show that, forecast path built by Scheffé method has a reasonable coverage of the possible path, and it is a reasonable and effective way to forecast uncertainty of Chinese macroeconomic. The pseudo out of sample path forecast shows that a more reasonable and effective path forecast can be drawn with a reasonable scene design.

Key words: path forecast, uncertainty, situation design, VAR, local projection, GDP, inflation

中图分类号:

F224.0

刘汉, 刘金全. 中国宏观经济情境设计与路径预测[J]. 中国管理科学, 2013, (1): 47-56.

LIU Han, LIU Jin-quan. Scene Design and Path Forecast for Chinese Macroeconomic[J]. Chinese Journal of Management Science, 2013, (1): 47-56.

参考文献

[1] 高仁祥,周子康. 预测困难与预测发展[J]. 中国管理科学, 1996, (4): 58-64.
[2] Granger C W J. Can we improve the perceived quality of economic forecasts? [J]. Journal of Applied Econometrics, 1996, 11(5): 455-473.
[3] Wallis K F. Chi-squared tests of interval and density forecasts, and the Bank of England’s fan charts [J]. International Journal of Forecasting, 2003, 19(2): 165-175.
[4] Hansen B E. Least-squares forecast averaging [J]. Journal of Econometrics, 2008, 146(2): 342-350.
[5] 梁强, 范英, 魏一鸣. 基于小波分析的石油价格长期趋势预测方法及其实证研究[J]. 中国管理科学, 2005, (1): 31-37.
[6] 张冬青, 宁宣熙, 刘雪妮. 考虑影响因素的隐马尔可夫模型在经济预测中的应用[J]. 中国管理科学, 2007, (4): 105-110.
[7] 石柱鲜, 黄红梅, 刘俊生, 等. 2007年我国经济周期波动分析与主要宏观经济指标的预测——利用Logistic回归模型的分析[J]. 数量经济技术经济研究, 2007, (6): 14-22.
[8] 刘金全, 刘汉, 印重. 中国宏观经济混频数据模型应用——基于MIDAS模型的实证研究[J]. 经济科学, 2010, (5): 23-34.
[9] 刘汉, 刘金全. 中国宏观经济总量的实时预报与短期预测——基于混频数据预测模型的实证研究[J]. 经济研究, 2011, (3): 4-17.
[10] 郑挺国, 王霞. 中国产出缺口的实时估计及其可靠性研究[J]. 经济研究, 2010, (10): 129-142.
[11] Jordà Ò,Marcellino M. Path forecast evaluation[J]. Journal of Applied Econometrics, 2010, 25(4): 635-662.
[12] Scheffé H. A method for judging all contrasts in the analysis of variance [J]. Biometrika, 1953, 40(1-2): 87-110.
[13] Scheffé H. Analysis of variance [M]. Wiley: New York, 1959.
[14] Stock J H, Watson M W. Vector autoregressions [J]. Journal of Economic Perspectives, 2001, 15(4): 101-115.
[15] Jordà Ò. Estimation and inference of impulse responses by local projections [J]. American Economic Review, 2005, 95(1): 161-182.
[16] Marcellino M, Stock J H, Watson M W. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series [J]. Journal of Econometrics, 2006, 127:499-526.
[17] Roy S N. On a heuristic method of test construction and its use in multivariate analysis [J]. Annals of Mathematical Statistics, 1953, 24: 220-238.
[18] Savin N E. The Bonferroni and Scheffé multiple comparison procedures [J]. Review of Economic Studies, 1980, 47: 225-273.
[19] Mahalanobis P C. On the generalized distance in statistics [J]. Proceedings of the National Institute of Science of India, 1936, 12: 49-55.
[20] Bowden D C. Simultaneous confidence bands for linear regression models [J]. Journal of the American Statistical Association, 1970, 65(329): 413-421.
[21] Holm S. A simple sequentially rejective multiple test procedur [J]. Scandinavian Journal of Statistics, 1979, 6: 65-70.
[22] Lehmann E L, Romano J P. Testing statistical hypothesis [M]. Springer: Berlin, 2005.
[23] 张延群. 中国货币供给分析及货币政策评价:1986~2007年[J]. 数量经济技术经济研究, 2010, (6): 47-56.
[24] 刘金全. 货币政策作用的有效性和非对称性研究[J]. 管理世界, 2002, (3): 43-51.
[25] 陈飞, 赵昕东, 高铁梅. 我国货币政策工具变量效应的实证分析[J]. 金融研究, 2002, (10): 25-30.
[26] 孙稳存. 货币政策与中国经济波动缓和化[J].金融研究, 2007, (7): 10-24.
[27] 时文朝. 我国货币政策传导的环境问题[J]. 金融研究, 2004, (9): 1-9.
[28] 莫万贵,王立元. 货币供应量和贷款仍是当前合适的货币政策调控目标[J]. 经济学动态, 2008, (2): 50-54.
[29] 谢众. 对当前货币调控工具选配的思考[J]. 金融研究, 2008, (5): 203-206.
[30] 谢平, 罗雄. 泰勒规则及其在中国货币政策中的检验[J]. 经济研究, 2002, (3): 3-12.
[31] 郑挺国,刘金全. 区制转移形式的"泰勒规则"及其在中国货币政策中的应用[J]. 经济研究, 2010, (3): 40-52.
[32] 沈利生,王火根. GDP数据修订对平减指数的影响[J]. 数量经济技术经济研究, 2008, (5): 155-160。
[33] 张利群,汪路,赵增德. 我国中央银行测度通货膨胀指标选择问题 [J]. 金融研究, 1997, (7): 6-11+55.
[34] Jordà Ò. Simultaneous confidence regions for impulse responses [J]. Review of Economics and Statistics, 2009, 91(3): 629-647.
[35] 陈彦斌,唐诗磊,李杜. 货币供应量能预测中国通货膨胀吗?[J]. 经济理论与经济管理, 2009, (2): 22-28.
[36] 葛兆强. 经济刺激政策不能退出,而应科学调整——2010年我国宏观经济走势与宏观经济政策取向[J]. 经济学动态, 2009, (12): 60-64.