管理评论 ›› 2021, Vol. 33 ›› Issue (1): 80-91.

• 经济与金融管理 • 上一篇    

中国综合PMI产出指数的动态分析:基于滞后效应的视角研究

王思玚   

  1. 国家开发银行, 北京 100031
  • 收稿日期:2020-03-17 发布日期:2021-02-03
  • 作者简介:王思玚,国家开发银行二级经理,硕士。

Dynamic Modeling on Chinese Composite PMI Output Index: A Time-lagged Effect Research

Wang Siyang   

  1. China Development Bank, Beijing 100031
  • Received:2020-03-17 Published:2021-02-03

摘要: 综合PMI产出指数由制造业生产指数与非制造业商务活动指数加权合成,对监测当期一国总体经济发展生产景气状况具有重要作用。本文基于滞后效应,利用自回归分布滞后(ARDL)模型分别构建了制造业生产、非制造业商务活动和综合产出指数的动态模型。研究发现:第一,新订单、采购量、供需缺口及利润趋势对制造业生产、非制造业商务活动的提升存在滞后效应,并且新订单的滞后效应尤其显著;第二,新订单、供需缺口及非制造业利润趋势对综合产出的提升存在滞后效应,且供需缺口和非制造业新订单的滞后效应尤其显著;第三,短期内制造业新订单对综合产出的提升存在负效应。本文有着清晰的政策含义:分部门看,扩大内需是目前提高我国产出的主要手段;整体看,去库存和扩大服务业需求是促进我国产出的主要手段。

关键词: 综合PMI产出指数, 滞后效应, 自回归分布滞后(ARDL)模型

Abstract: PMI composite output index, one of the reliable early indicators of national economic growth, is composed of manufacturing PMI output and services PMI business activity in weighted average method. This paper establishes dynamic models for the first time of manufacturing PMI output, services PMI business activity and PMI composite output using ARDL, based on lag effects of demand-supply. It shows that firstly, new orders, purchases, gap of new orders and inventory of finished goods as well as the profit trend (new orders-input prices) have significant hysteresis effects on PMI output and business activity, especially in new orders; secondly, new orders, gap and services profit trend have significant hysteresis effects on PMI composite output, especially in service new orders and gap; and thirdly, manufacturing new orders have negative hysteresis effect on composite output during the short period. This paper concludes at the sectoral level, expanding domestic demand respectively is still the most essential way to boost production. However, destocking and services demand determine to a large extent the growth pattern for sector-wide production growth.

Key words: composite PMI output, lagged effect, ARDL model