我国金融状况指数的构建及宏观经济效应分析

Construction of China’s Financial Conditions Index and Macroeconomic Effect Analysis

文章尝试在金融状况指数的构建中引入时变性以及对外贸易权重,以考察新形式下我国金融状况指数对宏观经济变量的影响。结果发现:我国动态权重的金融状况指数对宏观经济变量的预测能力较强,分别领先通货膨胀水平和产出缺口约14个月和6个月左右。进一步分析发现:相比于固定权重的金融状况指数,动态权重的金融状况指数对宏观经济变量的预测能力更强;相比于不包含对外贸易权重的金融状况指数,包含对外贸易权重的金融状况指数对宏观经济变量的预测能力衰减性更弱。

This paper attempts to introduce time variability and foreign trade weight into the construction of financial condition index in order to investigate the influence of China's financial condition index on macroeconomic variables under the new form.The results show that the financial condition index of dynamic weight in China has a strong ability to predict macroeconomic variables,which is about 14 months ahead of the inflation and about 6 months ahead of the output gap respectively.Further analysis shows that compared with the financial condition index with fixed weight,the financial condition index with dynamic weight has a stronger ability to predict macroeconomic variables,and that compared with the financial condition index without foreign trade weight,the financial condition index with foreign trade weight has a weaker attenuating ability to predict macroeconomic variables.