中国金融状况指数的构建及其动态演化特征

Construction and Dynamic Characteristic of China's Financial Condition Index

本文采用主成分分析方法构建我国金融状况指数,并运用马尔科夫区制转换模型来刻画其动态演化特征。研究发现:一是通过对我国金融状况指数的分析,可以发现我国金融状况指数呈现非线性特征;二是我国金融状况指数可以用两阶段马尔科夫区制转换模型来刻画;三是我国金融状况指数呈现扩张阶段和收缩阶段两种状态,且指数处于扩张期的持续性强于收缩期持续性。

In this paper, we use the principal component analysis method to construct China＇s financial condition index（FCI）, then employ Markov regime switching model to describe the dynamic characteristics of FCI. The conclusion is following： firstly, FCI has the characteristic of nonlinearity. Secondly, FCI can be described by using two stage Markov regime switching model. Finally, FCI has two kinds of state of expansion and contraction phase, and FCI is in the extension of the duration is longer than the duration of the contraction.