后危机时代中国金融条件指数的构建

THE CONSTRUCTION OF CHINA'S FINANCIAL CONDITION INDEX IN POST CRISIS ERA

本文梳理了金融条件指数的构建方法,分析了关于构建中国金融条件指数的研究现状。由于2008年金融危机后我国金融机制变异,传统构建方法存在局限性,本文强调时变权重和引入非金融变量两条改进思路。实证部分首先构建固定权重金融条件指数作为对照,再利用TVP-VAR模型构建2008年金融危机后的金融条件指数,检验了时变权重金融条件指数对通货膨胀率的解释和预测能力。结果表明:时变权重金融条件指数优于固定权重情形,能够较好地反映我国的金融状况;信贷可得性的引入优化了金融条件指数;本文构建的金融条件指数先行于通货膨胀约11个月,对通货膨胀率的解释和预测能力很强。构建合理的金融条件指数对于提高危机后货币政策的有效性和预见性、实现经济金融双重稳定具有重要现实意义。

In this paper, we categorize different methods to construct the financial condition index and analysis the research status of constructing China＇s financial condition index. Due to the variation of finan- cial mechanism in China after the crisis, there are some limitations in the conventional construction meth- ods. We improve the construction methods in two ways： time-varying weights and the introduction of non- financial variables. In the empirical part, we construct a fixed-weight FCI as the control, then we use TVP- VAR model to construct a FCI for the Post Crisis Era. At last, we test the ability of the time-varying weight FCI to explain and predict inflation. The results suggest that the time-varying weight FCI is better than fixed-weight ones in reflecting China＇s financial status. The introduction of credit-availability optimi- zes the FCI. FCI constructed in this paper goes ahead of inflation for about 11 months, and has a strong a- bility to explain and predict the inflation. It is of great practical significance to construct a reasonable FCI to improve the effectiveness and predictability of the monetary policy after the crisis, and to achieve the eco- nomic and financial stability.