我国金融状况指数构建及其对货币政策传导效应的启示——基于时变参数状态空间模型的研究

发布时间：2018-04-14 09:10

本文选题：状态空间模型 + 金融状况指数　；参考：《金融研究》2013年04期

【摘要】：通过时变参数状态空间模型估算不同经济因素的动态权重,并以此为基础构建的金融状况指数,能够体现不同形势下不同经济因素对金融总体形势的影响,并反映货币政策传导渠道的效应。本文估算了1997年到2009年以及1997年到2011年的两组金融状况指数,结果显示:货币供应量、房价、股价对这一时期金融总体形势的影响权重相对较大,特别是货币供应量。反映出近年来在应对国际金融危机的大背景下,我国货币政策依然倚重于数量型传导渠道,甚至程度有所加深。在此期间,由于管理体制等多种因素,利率、汇率的变化幅度远小于其他变量,它们在模型中权重尽管有所增加但总量较小。这并不能说明利率和汇率在构成FCI中的作用不重要。随着利率、汇率市场化程度进一步提高,加之房价、货币供应量增长波动向常态回归,二者的动态权重将会大幅提高。
[Abstract]:The dynamic weights of different economic factors are estimated by the time-varying parameter state space model, and the financial condition index based on this model can reflect the influence of different economic factors on the overall financial situation under different situations.And reflects the monetary policy transmission channel effect.This paper estimates two groups of financial condition indices from 1997 to 2009 and from 1997 to 2011. The results show that the influence of money supply, house price and stock price on the overall financial situation in this period is relatively large, especially the money supply.Under the background of international financial crisis in recent years, China's monetary policy still relies on quantitative transmission channels, and even deepens to some extent.During this period, because of many factors, such as management system, interest rate and exchange rate change much less than other variables, their weight in the model is increased, but the total amount is small.This does not mean that interest rates and exchange rates in the composition of FCI is not important.With interest rates, exchange rate marketization further increased, coupled with house prices, money supply growth fluctuations to return to normal, the dynamic weight of both will be significantly increased.
【作者单位】：中国人民银行办公厅;中国人民银行营业管理部;
【基金】：国家社会科学基金项目(12CJY103) 中国博士后科学基金(200902172)的资助
【分类号】：F224;F832;F822.0

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