Arbeitspapier
An adaptive approach to forecasting three key macroeconomic variables for transitional China
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China's key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating process to select a local homogeneous interval for model estimation, and is particularly well-suited to a transition economy experiencing ongoing shifts in policy and structural adjustment. Our results indicate that the proposed method outperforms alternative models and forecast methods, especially for forecast horizons of 3 to 12 months. Our 1-quarter ahead adaptive forecasts even match the performance of the well-known CMRC Langrun survey forecast. The selected homogeneous intervals indicate gradual changes in growth of industrial production driven by constant evolution of the real economy in China, as well as abrupt changes in interestrate and inflation dynamics that capture monetary policy shifts.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2015-023
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Thema
-
Chinese economy
local parametric models
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Niu, Linlin
Xu, Xiu
Chen, Ying
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Niu, Linlin
- Xu, Xiu
- Chen, Ying
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2015
Ähnliche Objekte (12)
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China
A hybrid of long short-term memory neural network and autoregressive integrated moving average model in forecasting HIV incidence and morality of post-neonatal population in East Asia: global burden of diseases 2000–2019
Learning while setting precedents
Rhetoric in legislative bargaining with asymmetric information
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China
A hybrid of long short-term memory neural network and autoregressive integrated moving average model in forecasting HIV incidence and morality of post-neonatal population in East Asia: global burden of diseases 2000–2019
Learning while setting precedents
Rhetoric in legislative bargaining with asymmetric information
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China
A hybrid of long short-term memory neural network and autoregressive integrated moving average model in forecasting HIV incidence and morality of post-neonatal population in East Asia: global burden of diseases 2000–2019
Learning while setting precedents