基于状态空间模型构建我国固定资产投资的SWI景气指数

从众多经济指标中选取了固定资产投资的先行、一致指标组,利用所选择的指标基于状态空间模型,采用Kalman滤波估计方法得到了固定资产投资的一致和先行SWI景气指数.对一致指数的分析表明,自1998年以来我国固定资产投资经历了蓬勃扩张的投资长周期和两轮振荡波动的投资短周期,从2008年开始在国际金融危机蔓延和我国经济结构调整的大背景下固定资产投资进入相对平稳增长期.通过对先行合成指数的分析,认为"十二五"期间投资将保持稳定增长,出现大起大落的可能性很小.

Constructing Chinese Investment SWI Index Based on State Space Model

This paper chooses investment leading and coincident indicators from more than200 economic index,then constructs Chinese investment SWI index based on State Space Model and Kahnan Filtering.This paper also analyses the cyclical fluctuation characteristics and trend.The coincident composite index analysis shows that,since 1998 the investment in China experienced rapid expansion of long period and two short wave cycles.Investment got into relatively stable growth period in 2008,investment coincident composite index has significantly declined Since 2011 April.Based on the analysis of the leading composite index,this paper argues that investment will maintain steady growth in the "Twelfth Five-Year Plan" period,large swings is unlikely.