多维视角下金融状况指数的构建与比较研究

A Study of Construction of and Comparison among Financial Conditions Indexes from the Multidimensional Perspective

加快金融状况指数(Financial Condit ions Indexes,FCI)的构建与应用研究,是抑制经济风险、推动结构性改革、促进经济复苏的重要议题。基于FCI的基本定义与功能定位,从频率、幅度和赋权方法三个视角构建的多维度FCI体系,通过实证比较可以发现:不同维度FCI的入选指标及其权重均存在较大差异;FCI的组成要素以金融变量为主,但也可以考虑纳入一些非金融指标;35.48%的FCI表现出内部结构协调性很好的特征,41.94%和22.58%的FCI表现出内部结构协调性一般和较差的特征,但所有FCI均通过了异常值和动态性检验;基于因子分析法赋权的高频中幅FCI,对于预测当前货币政策实施效果具有最佳的参考作用。

Accelerating the study of the construction and application of the Financial Conditions Indexes(FCI) is an important subject to curb economic risks, propel structural reforms, and promote economic recovery. Based on the basic definition and functional positioning of FCI, this paper constructs a multi-dimensional FCI system from three dimensions of frequencies, ranges, and empowerment methods.?Through an empirical comparison it can be found that there exist great differences among the selected indexes and weights of FCI at different dimensions, that the composition of FCI should focus on financial variables, but some non-financial indicators can also be considered, and that35.484% of FCI shows the features of good internal structural coordination, while 41.935% and22.531% of FCI shows the features of general or poor internal structural coordination, but all of them have passed the abnormal value test and the dynamic test. The high frequency medium range FCI based on factor analysis can serve the best reference to predict the effect of the implementation of the current monetary policy.