主题：Daily Tracking of Economic Conditions with a Time-Varying Parameter Mixed-Frequency Dynamic Factor Model
主讲人：郑挺国 厦门大学
时间：2025年5月28日（周三）下午14:30
地点：暨南大学石牌校区经济学院大楼（中惠楼）306室
摘要
This paper presents a novel time-varying parameter mixed-frequency dynamic factor model (TVP-MFDFM) designed to track high-frequency economic conditions. The model incorporates time-varying factor loadings and conditional heteroscedasticity in idiosyncratic errors, enabling it to capture the dynamic relationships among economic variables across daily, weekly, monthly, and quarterly frequencies. To address the high-dimensionality issue in parameter estimation, the model further assumes that factor loadings follow multivariate random walks driven by a common variance parameter, and time-varying volatilities follow exponentially weighted moving average processes. The quasi-maximum likelihood method is used for estimation, which can effectively handle non-Gaussian disturbances and missing values in mixed-frequency data. Empirical applications to U.S. and Chinese economic data demonstrate its effectiveness. For the U.S., the model produces a robust daily economic index that aligns with established benchmarks like the ADS index but with reduced volatility. For China, the model accurately captures economic fluctuations since 1979, while real-time analysis confirms its timeliness in tracking economic conditions. These results highlight TVP-MFDFM's potential for improving high-frequency economic monitoring and policymaking.
主讲人简介
郑挺国，厦门大学宏观经济研究中心副主任、邹至庄经济研究院和经济学院教授、博士生导师，厦门大学南强特聘教授，教育部青年长江学者、国家万人计划青年拔尖人才、教育部新世纪优秀人才。长期深耕宏观经济大数据分析、宏观计量经济学与宏观经济风险管理领域，研究聚焦混频数据建模、时变参数模型、复杂经济系统及文本数据分析等前沿方向。先后在《经济研究》（12篇）《管理世界》《经济学（季刊）》、Journal of Econometrics、Journal of Business & Economic Statistics、Journal of Economic Dynamics & Control、International Journal of Forecasting、Journal of Multivariate Analysis、Journal of Time Series Analysis、China Economic Review等国内外学术期刊上共发表近百篇论文。主持国家及省部级科研项目10余项，包括国家社科基金重大项目1项、国家自然科学基金面上项目4项，部分研究成果为政府科学调控与决策提供技术支撑。
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校对| 区昕然
责编| 彭毅
初审| 陈创练
终审发布| 何凌云
（来源：暨南大学经济学院微信公众号）
