Measuring China’s Business Cycle in Real-time: From Perspective of Macroeconomic Data Releases
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| Title | Measuring China’s Business Cycle in Real-time: From Perspective of Macroeconomic Data Releases
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| Author | Zheng Tingguo and Xia Kai |
| Organization | The Wang Yanan Institute for Studies in Economics, Xiamen University |
| Email | zhengtg@gmail.com；xiakai1986@gmail.com |
| Key Words | Business cycle; Macroeconomic data releases; Real-time ragged-edge data; Mixed-Frequency Markov-switching dynamic factor model |
| Abstract | In real economy, new macroeconomic data released by agencies like National Bureau of Statistics provide us with most timely dynamic information for analyzing China’s economic condition, and they can be further used to monitor China’s business cycle fluctuations in real-time. From the perspective of macroeconomic data releases and real-time ragged-edge datasets, this paper develops a Mixed-frequency Markov-switching dynamic factor model for an unbalanced datasets together with its estimation procedure, and employs it to measure and analyze China’s business cycle in real-time. The results show that our model can not only characterize China’s business cycle well since 1992, but also its estimated results with respect to real-time ragged-edge datasets and GDP data revisions are robust and reliable. Furthermore, we find that there may exist about 2 to 8 month delays in real-time dating business cycle turning points; and among all indicators released in turn within every month, the real-time revision impacts of indicators like Industrial Product, Fiscal Taxation on the contemporal business cycle fluctuation are both substantial and reliable, while the impacts of Industry Revenue, Export and Import total amounts are relatively weak. |
| Serial Number | WP871 |
| Time | 2015-05-12 |
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