中国实时金融状况指数的构建被引量：39

Construction of China's Real-time Financial Conditions Index

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摘要金融状况指数(FCI)综合了多个金融变量的信息,能够比单个指标更全面、直观地反映金融市场的整体运行情况。基于动态因子模型直接利用混频数据测算我国的实时FCI,突破了传统方法要求数据频度一致的限制,从而大大增强了FCI的时效性,使FCI具备金融市场流动性指示器的功能。实证研究表明,改进后的FCI能够揭示近年来我国货币政策的松紧程度,其走势比CPI月同比领先7个月,对通胀的预测效果优于其构成变量。 Because Financial Conditions Index （FCI） integrates the movements of multiple fi- nancial variables, it describes the financial market more comprehensively than any single varia- ble. Based on dynamic factor model, this paper extracts real-time FCI from mixed frequencies data directly. Then the daily FCI can not only reflect the tenseness of monetary policy, but also serve as an indicator for the liquidity of financial market. Furthermore, we examine the forecast performance of FCI with vintage data. Empirical evidences show that real-time FCI is reliable and more helpful in revealing the turning points of inflation than its constituting variables.

作者栾惠德侯晓霞

机构地区中国人民银行中国人民银行营业管理部

出处《数量经济技术经济研究》 CSSCI 北大核心 2015年第4期137-148,共12页 Journal of Quantitative & Technological Economics

关键词金融状况指数混频数据动态因子实时预测 FCI Mixed-Frequency Data Dynamic Factorl Real-Time Forecast

分类号 F821.9 [经济管理—财政学]

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