中国金融状况指数的构建、分解与货币工具选择

Construction and Decomposition of Chinese Financial Condition Index and Monetary Instrument Selection

文章基于时变参数向量自回归模型构建了2002年6月至2021年12月的中国金融状况指数,通过省级面板数据分解得到了省级金融状况指数,据此推算最优货币工具组合的理论形式,并依据实际数据进行了实例演算。研究结果表明:(1)中国金融状况指数中的传统货币因素权重下降,多元市场因素权重上升,但总体结构转变缓慢。(2)各省份金融状况指数总体上相对趋同,但构成的权重存在显著差异,发达省份的市场因素有更高的权重。(3)发达省份的金融状况指数有更强的外溢效应,落后省份更容易受到其他省份的影响。(4)可以通过最优的货币工具组合,使得实现某一目标FCI前提下波动最小。

This paper is based on the time-varying parameter vector autoregressive model to construct the China Financial Conditions Index(FCI)from June 2002 to December 2021,and obtains the provincial FCI through the decomposition of provincial panel data,on the basis of which to calculate the theoretical form of the optimal monetary instrument combination.Finally,the pa-per accords to the actual data to carry out the example calculation.The results go as below:(1)In the FCI,the weight of traditional currency factors decreases,and the weight of multi-market factors increases,but the overall structure changes slowly.(2)The FCI of all the provinces is relatively similar in general,but the weight of the composition is significantly different,and the market factor of the developed provinces has a higher weight.(3)The FCI of developed provinces has stronger spillover effect,and backward provinces are more vulnerable to the influence of other provinces.(4)An optimal combination of monetary instruments can be ad-opted to minimize fluctuations under the premise of achieving a certain target FCI.