中国混频金融状况指数的经济增长预测效果与检验

Economic Growth Forecast Effect and Test of China's Mixed Financial Condition Index

基于TVP-FAVAR模型及修订式测算中国FCI,并刻画SF-FCI和MF-FCI的经济增长预测效果与冲击效应,进一步运用混频Granger方法检验FCI与经济增长之间的因果关系,结果表明:合成FCI的各金融变量缺口存在较大差异,简单同频转换存在一定误差;SF-FCI领先经济增长大约1～2季度,MF-FCI领先经济增长大约2～4个季度,MF-FCI的经济增长效应与拟合效果更好,"典型时期"预测经济增长的先导性更强;SF-FCI和MF-FCI是经济增长的混频Granger原因,经济增长不是SF-FCI的混频Granger原因;经济增长是MF-FCI的混频Granger原因,混频Granger检验下MF-FCI和经济增长的因果关系更密切。

This article calculates China's financial conditions index based on the TVP-FAVAR model and revised form,which emphasizes the economic growth forecasting and shocking effects of the same frequency financial conditions index and mixed financial conditions index,and further uses the mixed frequency Granger method to test the relationship between the financial conditions index and economic growth.The results show that:Gap of the financial variables which synthesizes FCI has big difference,the simple same frequency conversion has a certain error;SF-FCI keeps ahead economic growth about 1~2 quarters,MF-FCI keeps ahead economic growth about 2~4 quarters,economic growth effect prediction ability of MF-FCI are better,MF-FCI predicts stronger economic growth in the typical period;SF-FCI and MF-FCI are the mixed frequency Granger causes of economic growth,economic growth is not the mixed frequency Granger cause of SF-FCI,economic growth is the mixed frequency Granger cause of MF-FCI,and the causality relationship between MF-FCI and economic growth is closer under mixed frequency Granger causality test.