The predictive power of real M1 for real economic activity in the euro area

欧元区要陷入衰退了吗:基于实际M1的预测

2019/04/30 16:01
对照中文英文原文
目前,利用实际M1的预测能力的模型表明,实际M1增长从2017年中期的最近高峰稳步下降,指向2020年初欧元区经济衰退的风险非常低。

Real M1 growth in the euro area has been moderating in recent quarters, adding to concerns about the economic outlook given the robust relationship between the business cycle and narrow money. This box shows that the leading and pro-cyclical properties of real M1 for real GDP remain a robust stylised fact in the euro area. Moreover, there are indications that these properties reflect the predictive capacity of narrow money, beyond the influence of interest rates. At the current juncture, models exploiting the predictive power of real M1 suggest that the steady decline in real M1 growth from its most recent peak in mid-2017 points to very low risks of recession in the euro area up to the beginning of 2020.

鉴于商业周期与窄幅货币之间的稳固关系,欧元区实际M1增长近几个季度一直在放缓,增加了对经济前景的担忧。本文表明,真实的M1对于实际GDP的主要和顺周期特性在欧元区仍然是一个强有力的风格化事实。此外,有迹象表明,这些特性反映了狭义货币的预测能力,超出了利率的影响范围。目前,利用实际M1的预测能力的模型表明,实际M1增长从2017年中期的最近高峰稳步下降,指向2020年初欧元区经济衰退的风险非常低。

The leading and pro-cyclical properties of real M1 with respect to real GDP in the euro area remain a robust stylised fact. These properties, which can be found for the relationship between real narrow money and real economic activity in both levels and growth rates, have been documented in various publications for earlier time periods.[1] An illustration of such properties can be derived from a visual examination of monthly data from January 1970 to February 2019 for annual growth in real M1, which is defined as the nominal narrow money aggregate M1 deflated by the HICP. Specifically, it is notable that this growth rate went well into negative territory for prolonged periods just before (or in coincidence with) all historical euro area recessions, as dated by the CEPR Euro Area Business Cycle Dating Committee (see Chart A).

实际M1相对于欧元区实际GDP的主要和顺周期属性仍然是一个强有力的程式化事实。这些属性可以在真实的狭义货币和实际经济活动之间的关系中找到,包括两个层次和增长率,已在各种出版物中记录了较早的时期。这些属性的说明可以从对1970年1月至2019年2月的月度数据观察得出,用于实际M1的年度增长,其被定义为由HICP缩小的名义窄货币总量M1。具体而言,值得注意的是,在CEPR欧元区商业周期委员会(见图A)所述的所有历史性欧元区衰退之前(或同时),这一增长率长期处于负面区域。

Chart A

图表A.

Real M1 annual growth and euro area recessions

实际M1年增长和欧元区衰退

(annual percentage changes)

(年度百分比变化)

Sources: CEPR, ECB.

资料来源:CEPR,ECB。

In terms of turning points in the levels of real M1 and real GDP, statistical indicators suggest that the lead and pro-cyclicality of peaks and troughs in real M1 in relation to peaks and troughs in real GDP represent a historical regularity. Indeed, concordance indices[2] calculated at different leads and lags indicate that turning points in real M1 tend to lead turning points in real GDP by four quarters, on average, and that, with that lead for narrow money, real M1 and real GDP are estimated to spend almost 90% of the time in the same business cycle phase (see Chart B). Moreover, the strong degree of synchronisation between turning points appears to have remained stable since the 1970s, including over more recent sub-periods.[3]

就实际M1和实际GDP水平的转折点而言,统计指标表明,实际M1中峰值和谷值的领先和顺周期性与实际GDP中的峰值和谷值相关,代表了历史规律性。事实上,根据不同的线索和滞后计算的一致性指数表明,实际M1中的转折点往往领先实际GDP的转折点平均四个季度,并且导致狭义货币、实际M1和实际GDP估计几乎90%的时间都处在同一个商业周期阶段(见图B)。此外,自20世纪70年代以来,转折点之间的强烈同步似乎保持稳定,包括最近的子时期。

Chart B

图表B.

Concordance indices between real GDP and real M1 at different leads and lags

不同领先和滞后的实际GDP与实际M1之间的一致性指数

(percentages, quarters)

(百分比,季度)

Sources: CEPR, ECB.

资料来源:CEPR,ECB。

Empirical evidence suggests that the predictive power of real M1 for real output in the euro area is not simply a reflection of information contained in the yield curve. Against the background of the ample evidence pointing to the leading properties of the slope of the yield curve for predicting recessions, it is natural to ask to what extent the leading and pro-cyclical properties of real M1 are driven by the pattern of the yield curve – and to what extent controlling for yield curve constellations would obviate narrow money as a predictor for economic activity. Historical data for the euro area suggests that the slope of the yield curve exhibits a positive co-movement with respect to real M1, with a lead of two quarters. In line with this historical regularity, concordance indices at different leads and lags indicate that turning points in the slope of the yield curve tend to lead turning points in real GDP by six quarters, on average, and that, with that lead, the slope of the yield curve and real GDP are estimated to spend about 60% of the time in the same business cycle phase (see Chart C). This regularity reflects the fact that interest rates do indeed represent key variables in driving portfolio decisions by households and non-financial corporations. However, it does not necessarily imply that the predictive power of real M1 for real economic activity in general, and for recession risks in particular, is entirely driven by its relation to the yield curve. In fact, the concordance indices with respect to real GDP point to a stronger degree of co-movement with real M1 (with a one-year lead, as depicted in Chart B) than with the slope of the yield curve (with a one-and-a-half-year lead, as depicted in Chart C). Moreover, the relationship between real M1 and real GDP as measured by these indices appears more stable over sub-periods than that between the slope of the yield curve and real GDP.

经验证据表明,实际M1对欧元区实际产出的预测能力不仅仅是收益率曲线中包含的信息的反映。在充分证据指出收益率曲线斜率的领先性质预测衰退的背景下,很自然地会问到实际M1的领先和顺周期特性在何种程度上受到收益率曲线模式的驱动。 - 控制收益率曲线将在多大程度上避免将狭义货币作为经济活动的预测因素。欧元区的历史数据表明,收益率曲线的斜率与实际M1呈现正向共同运动,领先两个季度。根据这种历史规律,不同领先和滞后的一致性指数表明,收益率曲线斜率的转折点往往领先实际GDP的转折点平均达到六个季度,并且在此基础上,估计收益率曲线和实际GDP在同一商业周期阶段约占60%的时间(见图C)。这种规律性反映了这样一个事实,即利率确实是家庭和非金融公司推动投资组合决策的关键变量。然而,它并不一定意味着实际M1对一般实际经济活动的预测能力,尤其是衰退风险,完全取决于其与收益率曲线的关系。事实上,与实际国内生产总值相关的一致性指数表明,与实际的M1(具有一年的领先优势,如图B所示)的联动程度要强于与收益率曲线的斜率(具有一年半的领先优势 - 如图C所示)。此外,通过这些指数衡量的实际M1与实际GDP之间的关系在子期间看比在收益率曲线的斜率与实际GDP之间更稳定。

Chart C

图表C.

Concordance indices between real GDP and the slope of the yield curve at different leads and lags

实际GDP与不同领先和滞后的收益率曲线斜率之间的一致性指数

(percentages, quarters)

(百分比,季度)

Sources: CEPR, ECB.

资料来源:CEPR,ECB。

Turning to the current juncture, a formal econometric analysis based on probit models exploiting the predictive power of real M1 does not point to significant recessionary risks in the euro area for 2019 and early 2020. On the basis of data since 1970, the probability of a contraction in euro area real GDP derived from a probit model based on real M1 (lagged by 12 months) increased sharply before all previous euro area recessions (see Chart D), providing strong evidence of the usefulness of narrow money in predicting recessions in the euro area. Forecasts based on this model point to recession risks increasing slightly in 2019, from about 1% in January 2019 to between 5% and 7% in the second half of 2019 before falling to below 5% in February 2020, that is to say remaining very low (blue line). Controlling for the slope of the yield curve changes results only marginally (yellow line). Overall, the current level of real M1 growth is still comfortably above the zone that would be associated with risks of a recession in the near future.[4]

谈到目前的时刻,基于利用实际M1的预测能力的概率模型的正式计量经济学分析并未指出2019年和2020年初欧元区的重大衰退风险。根据自1970年以来的数据,基于实际M1的概率模型(滞后12个月)表明在所有欧元区经济衰退之前,欧元区实际国内生产总值收缩(见图D),这为证明狭义货币在预测欧元衰退方面的用处提供了有力证据。基于此模型的预测,2019年欧元区经济衰退风险略有增加,从2019年1月的约1%增加到2019年下半年的5%至7%,然后在2020年2月跌至5%以下,也就是说保持非常低(蓝线)。控制收益率曲线的斜率仅略微改变结果(黄线)。总体而言,目前的实际M1增长水平仍然高于近期与经济衰退风险相关的区域。

Chart D

图表D.

Euro area recession probabilities based on probit models with lagged real M1

基于滞后实际M1的概率模型的欧元区衰退概率

(percentages)

(百分比)

Sources: CEPR, ECB.

资料来源:CEPR,ECB。

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