CAJ | 학술논문

传统的景气指数构建方法,例如广为应用的OECD合成指数方法,不能刻画动态性及指标间的关系,而只能构建单一景气指数.广义动态因子模型方法,不仅可以反映经济系统的动态联系,而且可以在一个统一的框架下同时构建多个景气指数.然而,该模型引入对称滤子导致实时分析存在滞后性.该文首先对算法在样本尾端进行单边化处理,解决实时分析的问题;其次,应用广义动态因子模型,在统一的模型框架下,同时分析中国的货币、信贷、利率等子周期,在此基础上构建了中国的金融周期景气指数,分析中国金融周期的波动及其与重要宏观经济指标间的动态关系.
전통적경기지수구건방법,례여엄위응용적OECD합성지수방법,불능각화동태성급지표간적관계,이지능구건단일경기지수.엄의동태인자모형방법,불부가이반영경제계통적동태련계,이차가이재일개통일적광가하동시구건다개경기지수.연이,해모형인입대칭려자도치실시분석존재체후성.해문수선대산법재양본미단진행단변화처리,해결실시분석적문제;기차,응용엄의동태인자모형,재통일적모형광가하,동시분석중국적화폐、신대、리솔등자주기,재차기출상구건료중국적금융주기경기지수,분석중국금융주기적파동급기여중요굉관경제지표간적동태관계.
Traditional approach to establish coincident index fails to capture the dynamic structure of business cycle and cannot describe the relationships among macroeconomic sections.This paper proposes to apply the generalized dynamic-factor model（GDFM）,which addresses the above problems,to conduct prosperity analysis of the financial cycle in China.However,this approach,based on frequency domain principal components and thus on two-sided filtering of observable variables,leads to the lag of application. Therefore,we firstly adjust one-sided filtering in the end of sample data.Then,GDFM is employed to construct the coincident index of the financial cycle in China,which is calculated from coincident indexes of a few sub-cycles obtained simultaneously.