Economic Theory and Business Management
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中国人民大学经济学院
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刘元春,李楠
Abstract: In this paper, we categorize different methods to construct the financial condition index and analysis the research status of constructing Chinas financial condition indexDue to the variation of financial mechanism in China after the crisis, there are some limitations in the conventional construction methodsWe improve the construction methods in two ways:timevarying weights and the introduction of nonfinancial variablesIn the empirical part, we construct a fixedweight FCI as the control, then we use TVPVAR model to construct a FCI for the Post Crisis EraAt last, we test the ability of the timevarying weight FCI to explain and predict inflationThe results suggest that the timevarying weight FCI is better than fixedweight ones in reflecting Chinas financial statusThe introduction of creditavailability optimizes the FCIFCI constructed in this paper goes ahead of inflation for about 11 months, and has a strong ability to explain and predict the inflationIt is of great practical significance to construct a reasonable FCI to improve the effectiveness and predictability of the monetary policy after the crisis, and to achieve the economic and financial stability
Key words: financial condition index , TVPVAR , timevarying weight , creditavailability
摘要: 本文梳理了金融条件指数的构建方法,分析了关于构建中国金融条件指数的研究现状。由于2008年金融危机后我国金融机制变异,传统构建方法存在局限性,本文强调时变权重和引入非金融变量两条改进思路。实证部分首先构建固定权重金融条件指数作为对照,再利用TVPVAR模型构建2008年金融危机后的金融条件指数,检验了时变权重金融条件指数对通货膨胀率的解释和预测能力。结果表明:时变权重金融条件指数优于固定权重情形,能够较好地反映我国的金融状况;信贷可得性的引入优化了金融条件指数;本文构建的金融条件指数先行于通货膨胀约11个月,对通货膨胀率的解释和预测能力很强。构建合理的金融条件指数对于提高危机后货币政策的有效性和预见性、实现经济金融双重稳定具有重要现实意义。
关键词: 金融条件指数 , TVPVAR模型 , 时变权重 , 信贷可得性
刘元春,李楠. 后危机时代中国金融条件指数的构建[J]. 经济理论与经济管理.
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http://jjll.ruc.edu.cn/EN/Y2018/V38/I1/46