摘要
首先运用时变状态参数模型构建中国金融状况指数(FCI),用来表征中国金融市场的周期性波动;接着运用马尔科夫区制转移模型识别金融周期的区制特征;最后讨论动态FCI与通货膨胀率的关系。研究表明:文章测算的FCI能够较好地反映中国金融市场的周期性波动;中国金融市场在适度扩张、扩张和紧缩的区制状态下周期性波动;FCI能够有效地预测通货膨胀。构建FCI可为央行健全货币政策和宏观审慎政策双支柱调控框架提供理论依据。
Firstly,the time-varying state parameter model is used to construct the China Financial Condition Index(FCI)to characterize the cyclical fluctuations of China’s financial market;then the Markov system transfer model is used to identify the regional characteristics of the financial cycle;finally,based on theoretical analysis,discussing the relationship between dynamic FCI and inflation.The research shows that the dynamic FCI calculated by the article can well reflect the cyclical fluctuations of the Chinese financial market;the Chinese financial market is cyclically fluctuated under a state of moderate expansion,expansion and contraction;the dynamic FCI can effectively predict inflation.The construction of FCI can provide a theoretical basis for the central bank to improve the two-pillar regulatory framework of monetary policy and macro-prudential policy.
出处
《投资研究》
CSSCI
北大核心
2019年第10期67-80,共14页
Review of Investment Studies
基金
国家社会科学基金重点项目“基于宏观金融稳定视角的人民币国际化策略研究”(项目批准号:16AJL012).
