Early Warning Of China's Macroeconomic Fluctuation Based On Term Spread

Along with the advancement of marketization of interest rate,the market of interest rate tend to be more mature and spreads on China's macro economy early warning effect is becoming more and more significant.The reformation of interest rate not only have great significance to the optimal allocation of resources,but also create favorable conditions for monetary policy's regulatory framework transformation.In the meantime,with the marketization of interest rate formation and perfection of regulatory mechanism,it is conducive to reduce cost of social financing and build an appropriate monetary and financial environment for economic sustainable development.Interest rate marketization can help the central bank realize monetary policy goals,and put forward higher requirements to the central bank's control ability for the macroeconomic regulation.Thus,the warning effect of spreads become better,and spreads become one of the important indices for monitoring economic fluctuation.Firstly,in this paper,in order to find the measure indicators of economic operation in our country,we can adopt the industrial added value growth rate as a benchmark,and on the basis of the relevant principles and standards choose four representative monthly indicators from alternative indicators,consist of product sales,investment,fixed assets,and electricity.Then we can use dynamic factor model to solve the economic climate index,by compelling graph and fitting result to found out that in all the group of consistent index,SW index can better reflect and depict China's dynamic trend of the economy.In the meantime,we can test the characteristics of leading in SW index by using the method of time difference correlation analysis.In this way,we can select spreads leading indicator,and regard it as prediction index of macroeconomic fluctuations.Secondly,this paper will build a STR model to analysis regime switching process and asymmetry characteristics of China's economic fluctuation.STR model not only can divide macroeconomic into different stages of the economic cycle clearly,but also can portrays the smooth regime switching process of economic growth.By giving the specific nonlinear form of regime switching,we can put forward some relevant policy suggestions.Thus,this paper will use STR model to analysis the early warning effect of spreads to China's macroeconomic fluctuation,and predict the trends of China's macroeconomic fluctuation in half a year.Then we can provide beneficial empirical evidence and policy implications for macroeconomic regulation and control.Finally,this paper will build MS-TVTP model and regard lag item of spreads as the effect factor of economic cycle transformation probability rather than explained variable.According to the results of the model's transition probability and corresponding filter probability,we can judge the phase characteristics of the economic cycle fluctuation and verify the driving effect on economic cycle phase transformation exerted by spreads.The ultimate estimate result of model shows that our country's economy cycle has the asymmetry characteristics.By analysing economic cycle fluctuation of several key phase transformation point and its corresponding conversion probability in our country,and combined with the relevant research conclusions and the key point in the time background of the economic operation in our country,we can come to the conclusion that spreads on economic cycle phase transformation has a driving effect,and show the asymmetry characteristis.When the economic cycle turns to recession,the transformation probability impacted by spreads will rise obviously.When China's economic turns into expansion,transition probability increases limitedly.It suggests that the time-varying transition probability has good warning effect for the presence of the peak,but has poorly ability to judge the bottom of economic cycle.