基于TVP-SV-FAVAR模型的中国金融条件指数测度

Measurement on China’s Financial Conditions Index Based on TVP-SV-FAVAR Model

金融条件指数能够较为全面地反映当前金融状况,但以往的金融条件指数构造存在较高的模型依赖问题,基于不同方法所得到的金融条件指数存在较大差异。为降低模型依赖的影响,文章引入TVP-SV-FA-VAR方法对金融条件指数的构建进行优化,并对中国的金融条件指数进行了测度。实证结果显示,2004—2018年中国的金融条件指数总体而言仍处于高位,其波动处于一个窄幅震荡的区间。

The financial conditions index(FCI)can reflect the current financial conditions comprehensively,but the previous FCI construction has a problem of high dependence on models,and the FCI obtained by different methods are quite different.In order to reduce the influence of model dependence,this paper introduces the TVP-SV-FAVAR method to optimize the construction of FCI,and also measures the FCI of China.The empirical results show that China’s FCI is still at a high level on the whole from 2004 to 2018,and it fluctuates in a narrow range.