Analysis of Macroeconomic Prosperity Index with ARMA Model
Abstract
Macro-economic climate index can play the role of the monitoring and early warning. For quantitative analysis, this paper used Eviews software to establish the ARMA model for the early warning index in the macroeconomic prosperity index. This model predicts the prosperity index in the coming period and reduces the barriers of traditional models. It also better reflects the fluctuation of economic development and forecasts the future economy. Many economists and mathematicians use ARMA model made a lot of effort in forecasting stock prices, but for macro-economic climate index, analysis is very few, so this study choose the monthly data from Sina Finance between January 2009 and December 2016 to analyze the macroeconomic climate index (warning index), which reflects the fluctuation of economic development and economic forecast for the future. Here is a brief introduction of the indicators and the relevant background. The macro-economic climate index includes: early warning index, consistency index, the index of leading indicators and lagging. Consistent index is the basic trend, which reflects the current economic situation composed of industrial production, employment, social demand (investment, consumption, foreign trade) and social income (national tax, corporate profits, income). Leading index is composed of a set of leading indicators ahead of the consistent index, used to forecast the economic trend of the future. Lag index was synthesized from lagging indicator behind the consistent index, it is mainly used to be a confirmation in the economic cycle peak and valley. And early warning index divides economic status into five levels: "red light" said economic overheating, "yellow light" said economic heat, "green light" said normal economic operation, "light blue lamp" said economic slants cold, "blue light" said economic too cold. In general, using the index analysis basically has the following advantages: First, business index is comprehensive. Business index method is a comprehensive climate measurement method, which can avoid the one-sidedness of the monitor, and comprehensively cover the main information of macroeconomic overall running state. Second, business index has continuity. Generally speaking, the sentiment index system structure is relatively stable in a relatively long period of time, basically will not occur on a large scale continuous changes and information with the higher continuity creates the basic conditions for analyzing the macroeconomic situation or judgement macroeconomic trend. Third, the prosperity index has dynamic comparability. The dynamic comparability of the business index allows the indices between different periods and regions to be compared vertically or horizontally. Fourth, the business index is timely. At present, the composition index of the synthetic business index is almost always the monthly data index, so the measure of the change of the climate is more timely, which is beneficial to reduce the delay effect of the regulation and greatly improve the effect of macro regulation. Since the early 1970s, the economic boom monitoring and early warning system itself has been initially shaped and has begun to show an international trend. The macroeconomic early warning system has been paid more and more attention in the process of modern economic development. This paper analyzes the early warning index in the macroeconomic prosperity index to reflect the fluctuation of economic development and forecast the future economy.
Keywords
ARMA model, Macro-economic climate index
DOI
10.12783/dtcse/cmsam2017/16380
10.12783/dtcse/cmsam2017/16380
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