我国金融形势指数的构建及其与宏观经济的关联性研究

发布时间：2018-03-30 01:24

本文选题：金融形势指数　切入点：通货膨胀　出处：《财贸经济》2010年03期

【摘要】：本文采用VAR模型计算出能够反映和测度我国货币金融形势变化的金融形势指数FCI。实证表明FCI能够较好预测我国通货膨胀率,可以成为货币政策制定的参考性指标。基于VAR模型和多元GARCH-BEKK模型的实证表明:FCI对通货膨胀构成单向均值溢出效应,实际经济增长对FCI构成单向均值溢出效应,FCI与通货膨胀、实际经济增长分别存在双向波动溢出效应。总体来看,我国货币金融形势与宏观经济有着紧密而复杂的联系,这在一定程度上正是我国金融经济周期与真实经济周期之间关联性的体现。因此,相关部门应充分认识到货币金融因素对宏观经济稳定的重要性,既要重视实体经济发展,也要关注货币金融形势变化,完善宏观经济政策制定体系,保持宏观经济平稳运行。
[Abstract]:This paper uses VAR model to calculate the index of financial situation that can reflect and measure the change of China's monetary and financial situation. The empirical results show that FCI can better predict China's inflation rate. Based on the VAR model and the multiple GARCH-BEKK model, the empirical results show that the one-way mean spillover effect on inflation is formed by the VAR model, and the one-way mean spillover effect of the actual economic growth on the GARCH-BEKK is the same as that of the inflation. In general, the monetary and financial situation in China has a close and complex relationship with the macro economy. To a certain extent, this is the embodiment of the correlation between the financial economic cycle and the real economic cycle in China. Therefore, the relevant departments should fully recognize the importance of monetary and financial factors to macroeconomic stability and attach importance to the development of the real economy. We should also pay attention to the changes in the monetary and financial situation, improve the macroeconomic policy-making system, and maintain the smooth operation of the macro-economy.
【作者单位】：西安交通大学经济与金融学院;西安交通大学;
【分类号】：F832;F123;F224

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