嵌入全球金融因子的中国广义灵活动态金融状况指数构建及应用--基于MI-TVP-SV-SFAVAR模型的实证分析

借鉴Thompson等(2013)1]嵌入全球金融因子的做法,在周德才等(2015)2]的基础上,从利率、信贷、货币供给、房价、股价和全球金融6类共30个金融指标中分别提取6个结构公因子,使用新建的MI-TVP-SV-SFAVAR模型,提出并測度了中国广义灵活动态金融状况指数(BFDFCI),进而分析其与通胀的关系,并与不包含全球金融因子的NFDFCI进行比较。结果表明:与NFDFCI相比,BFDFCI是通胀更优的领先性、相关性、因果性和预测指标,并明显优于FCI的已有研究;BFDFCI的权重是灵活时变的,其中全球金融因子的权重在世界金融危机后一直居于首位。

Construction of China's Broad Flexible Dynamic Financial Conditions Index with Global Financial Factor —— Empirical Analysis Based on MI-TVP-SV-SFAVAR Model

Using for reference on Thompson et al.(2013)⑴introducing global financial factors,basing on Zhou et al.(2015)select 30 financial indicators from the interest rate,credit,money supply,stock prices and global financial,extract respectively 6 factor structure common factors from them,use the newly constructed MI-TVP-SV-SFAVAR model to put forward and measure the BFDFCI,analyze the relationship with inflation and compare with NFDFCI without global financial factors(NFDFCI).The results show that compared with NFDFCI,BFDFCI is a better leading,correlation,causality and predictive indicator of inflation,and is obviously superior to the previous studies of the FCI;Chinese monetary policy is combination of price and quantity in general,the weight of BFDFCI is flexible and time-varying,the weight of global finance factor after the financial crisis has always been in the first place.