中国金融形势指数混频测度及其预警行为研究

The Mixed Frequency Measuring of Chinese FCI and Its Risk Warning Behavior

金融形势指数在前瞻性政策制定、金融风险预警等方面发挥着重要作用。本文基于季度GDP及月度经济指标等信息构建了一种混频动态因子FCI模型以实现中国金融形势指数的混频测度,进而分析其风险预警功能。研究结果表明:首先,引入GDP指标的混频FCI模型的测度结果优于同频模型,房地产价格、GDP等是影响金融形势指数的重要指标。其次,混频金融形势指数具有明显的顺周期特征,其与经济景气先行指数的相关性更强,但宏观经济下行时,该指数与一致指数的相关性明显增强。再次,金融形势指数是一致指数的领先因子,对宏观基本面波动趋势具有预警作用。进一步地,金融形势指数还可以明显改善景气指数的样本外预测精度。最后,替换股市及货币政策指标之后,混频FCI模型的估计结果无明显差异,金融形势指数测度结果也极为相似,从而保证了本文研究结论的稳健性。

Financial Condition Index provides the empirical evidence for the perspective monetary policy and financial risk warning. Based on the quarterly GDP and other monthly observations,this paper constructs the mixed frequency FCI model to measure the Chinese FCI and investigate its kisk warning function. We find that：first,the mixed frequency models have the better results than that of same frequency model. Real estate price and GDP are major driving factors of FCI. Second,the FCI is pro-cyclical. It has more closely relation with economic climate leading index. However,the correlation between FCI and consistent index is stronger in recession period. Third,the FCI is the leading factor of consistent index according to Granger causality. It shows warning function to the fluctuation of future macro fundamental. Moreover,The FCI can also improve the forecast accuracy of economic climate index. Fourth,when using the proxy variables of stock market and monetary policy,we also obtain the similar measure results. It means the robustness of the above findings.