动态金融状况指数构建与应用研究

Construction and Application Research on Dynamic Financial Conditions Index

本文基于金融变量和通货膨胀之间的传递机理,选取了2001年1月至2014年12月期间利率、汇率和股票市场等金融变量指标的非平衡面板数据,利用时变系数和随机波动率的因子扩展向量自回归(TVP-FAVAR)模型构建了动态权重的金融状况指数(FCI),克服了传统固定权重构造方法中经济信息含量少、未考虑经济制度环境结构性变化等缺点。在此基础上,本文进一步研究了金融状况指数与通货膨胀之间的动态关系,结果表明金融状况指数能较好预测和解释未来通货膨胀运行趋势,样本期内通货膨胀对金融状况指数冲击响应具有显著时变动态特征。

Based on the transmission mechanism between financial variables and inflation, this paper selects unbalanced panel data used in this model comes from the interest rate, currency, stock and other financial markets from January 2001 to December 2014 and constructs the dynamic weight financial conditions index by using time-varying coefficients and stochastic volatility factor-augmented vector autoregression （TVP-FAVAR） model, which overcomes the shortcom- ings of traditional fixed weight methods, such as limited amount of economic information and without considering the structural changes of the economic institutional environment. Then it further studies the dynamic relationships between the new FCI and inflation. Results show that FCI can better predict and explain future inflation trend, and the inflation has a significant time-varying dynamic features impacted by the impulse of FCI during the sample period.