中国金融稳定指数的构建与有效性分析——基于主成分分析法与格兰杰因果检验

Construction and Effectiveness Analysis of China s Financial Stability Index--Based on Principal Component Analysis and Granger Causality Test

金融稳定是经济持续发展的内在支撑,也是宏观审慎监管的最终目标,金融稳定指数的构建和分析是学术界的热点领域。本文基于10个基础指标,采用2011年至2021年年度数据,运用主成分分析法构建中国金融稳定指数并对其波动情况进行分析,使用单位根检验、协整检验和格兰杰因果检验验证金融稳定与经济增长之间的关系,以此判断构建的金融稳定指数的有效性。结果表明:近年我国金融稳定状况呈下降趋势;金融稳定是经济增长的格兰杰成因,构建的金融稳定指数是有效的。

Financial stability is the inner support of sustainable economic development and the ultimate goal of macro-prudential regulation.The construction and analysis of financial stability index is a hot field in academia.Based on 10 basic indicators and annual data from 2011 to 2021,this paper constructs China’s financial stability index with principal component analysis method and analyzes its volatility.It also uses unit root test,co-integration test and Granger causality test to verify the relationship between financial stability and economic growth,so as to judge the effectiveness of the constructed financial stability index.The results show that the financial stability of our country is in a decreasing trend recently.Financial stability is the Granger cause of economic growth,and the financial stability index is effective.