中国混频金融状况指数的构建

Construction of China Mixed-Frequency Financial Conditions Index

文章从货币政策经济增长目标出发,构建了新的混频金融状况指数(MFFCI)编制公式,使用MF-VAR模型,测算了金融状况变量的混频权重系数,实证编制和应用了中国MFFCI,同时与同频金融状况指数(SFFCI)进行了比较分析。结果表明,MFFCI无论与GR的相关性、因果关系,还是对GR的领先性和预测能力,都比SFFCI好,说明MFFCI更适合中国。

Starting from the economic growth target of monetary policy, this paper sets up a new calculation model and formulas for constructing mixed-frequency financial conditions index （MFFCI）, and then uses MF-VAR model to measure and calculate the mixed-frequency weights of financial condition variables. Finally the paper empirically constructs and applies the MFFCI of China, and at the same time makes a comparison between the MFFCI and the same frequency financial conditions index （SFFCI）. The empirical evidences show that the MFFCI is better than SFFCI as far as the correlation with growth rate （GR）, causality, or the primacy and prediction abilities for GR are concerned, which indicates that MFFCI is more suitable for China.