中国金融状况与实体经济发展研究——来自中国2000-2017年月度数据

Research on China’s financial situation and real economy development——Monthly data from China 2000-2017

运用混合创新时变系数随机方差向量自回归模型(mixture innovation time-varying parameter vector autoregressive models with stochastic volatility,MI-TVP-SV-VAR)构建中国金融状况指数(MFCI)测度中国金融状况,并基于非对称多重分形去趋势交叉相关分析法(multifractal asymmetric detrended cross-correlation analysis,MF-ADCCA算法)分析MFCI对实体经济发展的预测能力.以我国2000-2017年月度数据为研究样本,实证结果显示:各金融状况变量的权重均具有灵活时变性,股票价格、债券价格、房地产价格在MFCI中的权重较大;MFCI在样本期间能够与实体经济发展保持趋势上的一致性,且领先于实体经济发展(EC)的变动;基于MF-ADCCA算法的非对称相关性检验得出MFCI与EC具有持久的交叉相关性,MFCI的下降会导致EC的下降,MFCI的上升会导致EC的上升;MFCI对EC的交叉影响改变了单独序列本身的非对称影响,说明中国金融状况对实体经济发展的前期影响作用存在,MFCI具有对实体经济发展的预测作用.跨期相关性检验得出MFCI对实体经济的预测作用在6个月内效果更显著.

This paper uses the mixture innovation time-varying parameter vector autoregressive models with stochastic volatility model(MI-TVP-SV-VAR)to construct the China financial status index(MFCI)to measure China's financial situation.Based on the multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA)algorithm,the MFCI is used to predict the development of the real economy.In the empirical study,the research sample selects the monthly data of China from 2000 to 2017.The empirical results show that the weights of various financial status variables have flexible time-varying,and the stock price,bond price and real estate price have greater weight in MFCI.During the sample period,MFCI is able to maintain a consistency trend with the development of the real economy(EC)and is ahead of changes in the real economy.The asymmetric correlation test based on MF-ADCCA algorithm shows that MFCI has a persistent cross-correlation with EC.The decline of MFCI will lead to the decline of EC,and the rise of MFCI will lead to the rise of EC.The cross-effect of MFCI on EC changes the asymmetric influence of the individual sequence itself,indicating that the impact of China's financial situation on the development of the real economy exists,and MFCI has a predictive effect on the development of the real economy.The intertemporal correlation test shows that the predictive effect of MFCI on the real economy is more effective within 6 months.