Dynamic Threshold Of China's Fixed Assets Investment And Macroeconomic Early Warning

In the wake of the new normal that China's economy has entered,the growth rate of many macroeconomic total indicators compared with China's previous rapid growth has declined such as industrial added value,fixed assets investment,residents' consumption,money supply.Many institutions and scholars are skeptical about China's economic because of the great change in the economic situation.In the new normal stage,the conclusion which is gotten by judging China's economic operation state by fixed early warning limits of the traditional macroeconomic monitoring and early warning signal system does not correspond to reality.In order to effectively monitoring the China's macroeconomic operation situation in the new normal,the new method for determining early warning limits of China's economic indicators and sending out an objective and reasonable warning signal is explored in the paper so that we can provide the reference for rational investment of investors and economic policy formulation of the government.Because the peak(trough)of macroeconomic leading indicators always appears before the peak(trough)of the business cycle,we can use leading indicators to monitor the economic status.In China,we can adopt the cumulative growth rate of industrial added value as the benchmark for measuring the economic status.The leading and lag relationship between the cumulative growth rate of industrial added value and the cumulative growth rate of fixed assets investment is researched,based on cointegration test,Granger causality test and cross correlation coefficient.It is found that the cumulative growth rate of fixed assets investment is a one-way Granger Cause for the cumulative growth rate of industrial added value when the number of leading periods is 3 months.Therefore,the cumulative growth rate of fixed assets investment can be used as a leading indicator of China's macroeconomic fluctuation.It can send out early warning signals to the macroeconomic future trend.Because the cumulative growth rate of fixed assets investment is a time series of long memory and non-stationary.In this paper,the dynamic threshold model is successfully established,based on the POT model,the fractional integration theory and the binomial expansion of non-integer power for getting thresholds of the long memory and non-stationary sequence.Then,thresholds of the cumulative growth rate of fixed asset investment is calculated,based on the dynamic threshold model,GPH estimation and bootstrap.The picture of the cumulative growth rate and dynamic thresholds of fixed assets investment is drew.The study shows that flourishing and recessionary points of the cumulative growth rate of fixed assets investment are successfully identifies by the dynamic threshold model.This function plays an important role in judging the extreme volatility of investment and macro economy.Finally,thresholds of the cumulative growth rate of fixed assets investment are estimated by traditional macroeconomic monitoring and early warning signal system.The result is compared and analyzed with the result of the dynamic threshold model proposed in the paper.It is found that dynamic early warning limits which are established by the dynamic threshold model are more suitable for China's economic reality.Moreover,the new method are solid of mathematical foundation and the traditional way of experiential practice is overcame.For the new normal,the division results of two methods are completely different.The result of the dynamic threshold model is that the growth rate of fixed assets investment is in the normal fluctuation range,but the result of the traditional early warning system is that the growth rate of fixed assets investment is in the recessionary range.In recent years,although China's economic growth rate has declined,the national economy is still running smoothly,and the economic structure is more and more reasonable.China's economic growth model is changing from the traditional extensive and high-speed growth model to the more sustainable and high-quality growth model.The high and new technology industry is flourishing and the people's life is better.All of these show that China's economy is in the range of normal and stable fluctuations.With the rapid growth of China's macroeconomic aggregates,it is inevitable that the growth rate of fixed assets investment has declined.The conclusion that investment is too cold is obviously incompatible with China's economic facts.Therefore,the paper holds that the conclusion based on the dynamic threshold model is more reasonable which can be further applied to the research of the threshold judgement of other macroeconomic indicators in China.