This year, under the three main lines of repeated epidemic, real estate downturn and Russia Ukraine conflict, the fluctuation range of macro indicators has increased significantly. Therefore, the importance of timely capturing the latest economic changes has become increasingly prominent. This report provides an effective high-frequency index observation system.
High frequency indicators can track the marginal changes of economy in time and provide basis for the prediction of macro indicators. For the medium and low frequency data released by the Bureau of statistics, first, the release frequency is low, at least monthly; second, there is obvious lag characteristics, which is usually released in the middle of the second month; third, there is a "vacuum period" for some macro indicators from January to February. The above three points make the data of the Bureau of statistics unable to reflect the latest changes in economic operation. In other words, the selected high-frequency indicators need to have a clear corresponding relationship with the medium and low-frequency indicators. Looking for high-quality high-frequency indicators follows four principles: first, the data update frequency is high and timely. Second, the high-frequency index has economic connection with the medium and low-frequency index it points to. Third, select high-frequency data with high correlation. Fourth, the data time span is long enough.
We focus on two dimensions of high-frequency data, one is economic growth, the other is inflation. The indicators related to economic growth can be divided into two levels: supply side and demand side, which correspond to the production method and expenditure method in GDP accounting method respectively. In the supply side, we focus on industrial added value; The demand side includes the total retail sales of social consumer goods, fixed asset investment and export amount, that is, the "troika". Inflation data include consumer price index (CPI) and factory price index of industrial products (PPI).
Establish a macro high-frequency index observation system of Xinda. After finding the high-frequency indicators according to the above requirements, we constructed Xinda macro industrial production index, consumption index, fixed asset investment index and export index, and tested the effectiveness of the index. If the high-frequency index and its macro index change in the same direction year-on-year, it means that the high-frequency index is judged correctly. The test results show that the winning rate of the four indicators in direction judgment remains at a high level. The industrial production index consists of the crude steel output of key enterprises, the load rate of PTA industrial chain of Jiangsu and Zhejiang looms, and the operating rate of semi steel tires; The consumption index consists of the average daily retail sales of passenger car manufacturers, the spot price of Brent crude oil and Keqiao Textile price index; The fixed asset investment index consists of rebar price, cement price index, commercial housing transaction area in 30 large and medium-sized cities and float glass price; The export index consists of BDI index and SCFI index.
Risk factors: covid-19 virus mutation leads to vaccine failure; China's policy exceeded expectations.
