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Forecasting Chinese GDP growth with mixed frequency data: Which indicators to look at?

机译:用混合频率数据预测中国GDp增长:要看哪些指标?

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摘要

Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day prior to GDP release and track the release days of the indicators so as to only use information which is actually available at the respective day of forecast. This procedure allows us to detect how useful a specific indicator is at a specific forecast horizon relative to other indicators. Despite being published with an (additional) lag of one month the OECD leading indicator outperforms the leading indicators published by the Conference Board and by Goldman Sachs. Albeit being smaller in terms of market volume, the Shenzhen Composite Stock Exchange Index outperforms the Shanghai Composite Stock Exchange Index and several Hong Kong Stock Exchange indices. Consumer price inflation is especially valuable at forecast horizons of 11 to 7 months. The reserve requirement ratio for small banks proves to be a robust predictor at forecast horizons of 9 to 5 months, whereas the big banks reserve requirement ratio and the prime lending rate have lost their leading properties since 2009. Industrial production can be quite valuable for now- or even forecasting, but only if it is released shortly after the end of a month. Neither monthly retail sales, investment, trade, electricity usage, freight traffic nor the manufacturing purchasing managers' index of the Chinese National Bureau of Statistics help much for now- or forecasting. Our results might be relevant for experts who need to know which indicator releases are really valuable for predicting quarterly Chinese GDP growth, and which indicator releases have less predictive content.
机译:在混合数据采样(MIDAS)模型的基础上,我们评估了各种每月宏观经济指标对预测中国GDP季度增长的预测能力。我们在GDP发行前的370天到1天之间的预测范围内进行迭代评估,并跟踪指标的发布天数,以便仅使用在各个预测日实际可用的信息。该程序使我们能够检测特定指标相对于其他指标在特定预测范围内的有用性。尽管发布时间(额外)滞后一个月,但OECD领先指标的表现要优于会议委员会和高盛发布的领先指标。尽管市场总量较小,但深证综合交易所指数的表现却优于上证综合指数和一些香港交易所的指数。消费者价格通胀在11到7个月的预测范围内尤其有价值。在9到5个月的预测范围内,小银行的存款准备金率被证明是一个强有力的预测指标,而自2009年以来,大银行的存款准备金率和主要贷款利率已经失去了领先地位。 -甚至是预测,但前提是该月结束后不久发布。每月零售额,投资,贸易,用电量,货运量或中国国家统计局的制造业采购经理人指数对现在或预测都无济于事。我们的结果可能与需要了解哪些指标发布对于预测中国GDP季度增长真正有价值以及哪些指标发布的预测内容较少的专家有关。

著录项

  • 作者

    Mikosch Heiner; Zhang Ying;

  • 作者单位
  • 年度 2014
  • 总页数
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类

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