中国金融状况周期波动特征及趋势周期分解

Periodic Fluctuation Characteristic and Trend-cycle Decomposition of China's Financial Condition

本文基于RTV-DFM合成的金融状况指数(FCI)分析中国的金融状况,通过趋势周期分解试图揭示中国金融状况周期波动及长期趋势特征,并在此基础上进行预测。研究发现,本文合成的FCI很好地刻画了中国的金融状况,可作为金融经济变量的先行指标,中国金融周期与货币政策周期高度一致,随机性趋势与FCI趋势高度一致,周期性短期波动与FCI同步反向变化,市场情绪及投资者预期非理性掩护下的随机冲击是中国金融状况剧烈波动的原因。预测显示中国金融状况将渐进式"走出最坏,逼近光明"。

This paper, based on FCI synthesized by RTV-DFM to analysis China＇s financial condition, attempted to reveal the characteristics about periodic fluctuation and long-term trends of China＇s financial condition and then make predictions, by trend-cycle decomposition. The study finds that FCI of this paper is a good description of China＇s financial condition which could be used as the leading indicator of financial economic variables, and China＇s financial cycle is highly consistent with the monetary policy cycle; besides, though random trends are consistent with the trend of FCI, periodic short-term fluctuations and FCI synchronous reverse change, and random shocks behind irrational market sentiment and investor expectations are the causes of the severe fluctuation of China＇s financial situation; lastly, the forecast shows that China＇s financial condition will gradually ＂get out of the worst, approaching the light＂.