新格局下中国金融稳定状况指数构建及其与美国货币政策间的区制关系分析

Construction of China’s Financial Stability Index in the New Normal Structure and Analysis of Its Regional Relationship with US Monetary Policy

中国金融的稳定性在早年间深受国际政治经济格局的影响,加之近些年中美贸易、日韩贸易等争端持续升级,资本市场首当其冲,但中国金融却为何表现得越发稳定?本文选取14个经济指标借助状态空间模型重建了中国金融稳定状况指数,验证了近十年我国金融市场典型事件造成的波动。然后,采用MS-VAR模型实证研究发现,美国货币政策变动与我国金融稳定状况存在区制转移:2014年10月以前,美国消费者物价指数的变动对我国金融稳定影响较大、影响期较长;2014年10月以后,联邦基金利率的调整对我国金融稳定影响较为明显,但影响幅度下降、影响期缩短至5个月。这表明“新常态”提出以来,我国金融稳定向好,同时美国货币政策的变动对我国金融稳定的影响呈下降态势。

In the early years,the stability of China’s finance was deeply affected by the international political and economic structure.In addition,the Sino-US,Japan-Korea and other bilateral trade disputes over recent years continue to escalate,and the capital market has been the first to bear the outcome.But how come China’s finance become more stable despite the external impacts?First of all,this paper selects fourteen indicators from three situations including domestic and foreign environments and four major financial markets with the help of the State Space Model,and builds a comprehensive financial stability index to measure the financial stability of China from December 2009 to December 2018,and analyzes typical events of China’s financial market which caused economic fluctuation.At the same time,this paper analyzes the trend chart of the financial stability index and the consumer price index from the previous month,and finds that the index constructed by this paper is about 1-3 months ahead of the CPI MoM.Then,an empirical study using the Vector Autoregressive Model of Markov Regime Switching finds that there is a regional shift in changes between US monetary policy and China’s financial stability:From December 2009 to September 2014,changes in the US consumer price index have a greater impact on China’s financial stability for a longer period;from September 2014 to December 2018,the adjustment of the federal funds rate has a more significant impact on China’s financial stability,but the magnitude of the impact decreases and the impact period is shortened to 5 months.This shows that since the“new normal of economy”was proposed,China’s financial stability has improved,and at the same time,the impact of changes in US monetary policy on China’s financial stability has declined.This research has guiding significance for China’s financial stability and development.