Measuring China’s Business Cycle with Mixed-frequency Data and Its Real Time Analysis
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| Title | Measuring China’s Business Cycle with Mixed-frequency Data and Its Real Time Analysis
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| Author | Zheng Tingguo and Wang Xia |
| Organization | The Wang Yanan Institute for Studies in Economics, Xiamen University |
| Email | zhengtg@gmail.com；wxia820@163.com |
| Key Words | Business Cycle; Mixed-frequency Data; Regime Switching; Dynamic Factor Model; Real Time Analysis |
| Abstract | Modern macroeconomic studies show that, two key insights of business cycles are the presence of comovements across monthly, quarterly and annually economic indicators and the recurrence of several separate business cycle phases. Taking into account the important role of quarterly indicators such as GDP in macroeconomic analysis, this paper develops an econometric model that uses both monthly and quarterly indicators to model business cycle, i.e., the mixed-frequency markov switching dynamic factor model. Though our empirical modeling and estimation on China’s year-on-year quarterly GDP growth rate and five monthly coincident indicators, we can not only identify business cycle phases from 1992 to 2011 reasonably, but also extract a new coincident index to describe China’s economic conditions. Furthermore, based on the real time data set we collected, this paper examined the reliability and timeliness of this model in identifying business cycle turning points and thus verified its applicability in China. |
| Serial Number | WP202 |
| Time | 2012-02-15 |
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