中国电力景气指数的混频非对称测度

doi:10.11930/j.issn.1004-9649.202006195

中国电力 ›› 2022, Vol. 55 ›› Issue (6): 172-185.DOI: 10.11930/j.issn.1004-9649.202006195

中国电力景气指数的混频非对称测度

周德才^1,2, 陈金金¹, 刘波¹

1. 南昌大学经济管理学院，江西南昌　330031;
2. 中国中部经济社会发展研究中心，江西南昌　330031

收稿日期:2020-06-19 修回日期:2021-04-15 出版日期:2022-06-28 发布日期:2022-06-18
作者简介:周德才(1976—)，男，通信作者，教授、博士生导师，从事金融经济和金融计量研究，E-mail：decaizhou@163.com;陈金金(1994—)，女，硕士研究生，从事金融经济和金融计量研究，E-mail：767993552@qq.com
基金资助:
江西省高校人文社会科学研究项目(基于粒子滤波的江西实时时变经济景气指数体系编制及应用研究，TJ19102)；国家统计局统计科学研究重点项目(基于混频数据的中国宏观经济实时时变预测研究，2018LZ09)；国家社会科学基金资助项目(基于混频损失函数的我国实时动态金融状况指数编制及应用研究，17BTJ011)

Mixed-frequency Asymmetric Measure of China's Electric Power Industry Prosperity Index

ZHOU Decai^1,2, CHEN Jinjin¹, LIU Bo¹

1. School of Economics and Management, Nanchang University, Nanchang 330031, China;
2. Research Center for Economic and Social Development in Central China, Nanchang 330031, China

Received:2020-06-19 Revised:2021-04-15 Online:2022-06-28 Published:2022-06-18
Supported by:
This work is supported by Jiangxi University Humanities and Social Sciences Research Project (Compilation and Application Research of Jiangxi Real-Time Time-varying Economic Prosperity Index System Based on Particle Filter, No.TJ19102), National Bureau of Statistics of China (Research on Real-Time Time-Varying Forecast of China's Macroeconomics Based on Mixed-Frequency Data, No. 2018LZ09）and National Social Science Foundation of China (Compilation and Application Research of China's Real-Time Dynamic Financial Condition Index Based on Mixed-Frequency Loss Function, No. 2018LZ09).

摘要/Abstract

摘要： 鉴于传统同频电力景气指数缺乏实时性和动态性，构建能够同时分析季度、月度2种频率的MF-MS-SW模型，选择21个指标组成的先行、一致和滞后混频样本数据，构建中国混频电力景气指数及预警信号系统。结果表明：构建的MF-MS-SW计量模型较好地刻画了中国电力景气指数的波动特征，具有多频率和非线性的特征，与中国总体经济发展状态具有高度的一致性，可以用来预警和预测。建议能源和电力部门定期编制并发布中国电力行业景气指数，反映电力行业景气状态的实时变化，促进能源结构优化调整。

关键词: 电力行业, 景气指数, 预警分析, MS-SW模型, 混频模型

Abstract: In view of the problem that the traditional co-frequency power prosperity index lacks timeliness and dynamism, a MF-MS-SW model is constructed, which can analyze both the quarterly and monthly frequencies at the same time. Leading, consistent and lagging mixed-frequency sample data consisting of 21 economic indicators are selected to construct China's mixed-frequency power prosperity index and early warning signal system. The results show that the proposed MF-MS-SW measurement model has a good description of the fluctuation characteristics of China’s power prosperity index, i.e., multiple-frequency and nonlinear characteristics, and has a high degree of consistency with China’s overall economic development status. The model can be used for early warning and forecasting. It is recommended that the energy and power sectors regularly compile and publish China's power prosperity index, reflecting the real-time changes in the power industry's economic status and promoting the optimization and adjustment of energy structure.

Key words: electric power industry, prosperity index, warning signal analysis, MS-SW model, mixed frequency model

周德才, 陈金金, 刘波. 中国电力景气指数的混频非对称测度[J]. 中国电力, 2022, 55(6): 172-185.

ZHOU Decai, CHEN Jinjin, LIU Bo. Mixed-frequency Asymmetric Measure of China's Electric Power Industry Prosperity Index[J]. Electric Power, 2022, 55(6): 172-185.

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链接本文: https://www.electricpower.com.cn/CN/10.11930/j.issn.1004-9649.202006195

https://www.electricpower.com.cn/CN/Y2022/V55/I6/172

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中国电力景气指数的混频非对称测度

Mixed-frequency Asymmetric Measure of China's Electric Power Industry Prosperity Index

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