中国FCI构建及其对通胀的非对称性效应--基于BDFA-VAR模型和MS-VAR模型的实证分析

China's FCI Construction and Its Asymmetric Impact on Inflation:Based on BDFA-VAR and MS-VAR

基于构建的贝叶斯动态因子增广VAR(BDFA-VAR)模型,从20个金融指标中提取6个贝叶斯动态公因子,来构建中国贝叶斯动态因子金融状况指数(BDFFCI),并分析其与通胀的关联性,进而使用MSVAR模型分析其对通胀的非对称性效应。结果表明中国BDFFCI的突出特点是与通胀有很长期限的高相关性,领先通胀1~14个月,是通胀更长期限的先行指标,且其汇率、货币供应量等公因子权重较大,说明中国货币政策是价格和数量综合型的。建议政府机构定期构建中国BDFFCI。

Extracting six Bayesian dynamic common factors （BDFs） from 20 financial indexes, and using the BDFs to construct the Bayesian Dynamic Factor Financial Condition Index （BDFFCI） which is based on the Bayesian Dynamic Factor-Augmented Vector Autoregression （BDFA-VAR）. Then analyze the correlation between FCI and inflation （IR）, and further testing the non-symmetric correlation between Chinas BDFFCI and IR that is based on MS-VAR. Results show Chinas BDFFCI is characterized by a long period of high correlation with inflation,can forecast inflation 1-14 months,it’s a longer period of ahead and forecast indicators for inflation;exchange rate, money supply, they have large weight in the BDFFCI, this reflects that the monetary policy of our country is composed of quantity and price. Propose government agencies to regularly build Chinas Financial Condition Index.