金融状况指数的变量选择及其应用研究

发布时间：2018-04-05 06:02

本文选题：金融状况指数　切入点：变量选择　出处：《湖南大学》2014年硕士论文

【摘要】：货币政策的有效性是各国最关注的问题之一，Goodhart和Hofmann提出的金融状况指数在衡量一国整体的金融状况、评估货币政策的松紧程度、预测未来的产出增长率和通货膨胀走势等方面具有独特的作用，已被多国货币当局用作货币政策决策的参考指标和指示器。但是我国在这方面的研究相对较晚、较少，目前只有高盛定期发布中国的金融状况，我国央行并没有制定和定期发布我国的金融状况指数，在构建变量的选择方面的研究更是少之又少。基于这一现状，本文以科学性、系统性、全面性和可行性为原则，以货币政策的传导渠道为理论依据，以金融状况指数的构建变量选择为切入点，首先确定我国窄幅金融状况指数、中幅金融状况指数和宽幅金融状况指数各自的变量筛选池，然后通过信度检验和基于结构方程模型的效度检验两个层次的筛选，最终确定构建三种不同幅度的金融状况指数的具体变量，并采用VAR脉冲响应函数赋权法计算出从2006年1月到2013年12月的我国金融状况指数的月度数据。随后为了验证金融状况指数究竟能否作为货币政策执行效果的指示器，利用金融状况指数和通胀率二者的线性趋势与跨期相关系数、格兰杰因果检验、脉冲响应分析三种方法来验证金融状况指数对通胀率的预测作用，实证结果显示本文构建的窄幅、中幅和宽幅三种幅度的金融状况指数在短期（1—3个月）内对通胀率具有很好的预测效果，，可以作为我国货币政策执行效果的指示器。本文在一定程度上填补了国内在金融状况指数研究领域的空白，对我国金融状况指数的制定和应用具有一定的参考价值，并据此从三个方面提出了相关的政策建议。
[Abstract]:The effectiveness of monetary policy is one of the most important issues of concern to all countries. Goodhart and Hofmann put forward the Financial condition Index, which measures the overall financial situation of a country and assesses the degree of monetary policy tightening.The forecast of future output growth rate and inflation trend has a unique role, and has been used as a reference indicator and indicator for monetary policy decisions by multinational monetary authorities.However, the research in this area in China is relatively late and less. At present, only Goldman Sachs regularly publishes the financial situation in China, and the central bank of China has not formulated and published the financial situation index of our country regularly.The research on the choice of construction variables is even less.Based on this situation, this paper takes the principles of science, systematization, comprehensiveness and feasibility as the principle, the transmission channel of monetary policy as the theoretical basis, and the choice of financial condition index as the starting point.Firstly, the variable screening pools of narrow financial condition index, middle financial condition index and broad-band financial condition index are determined, and then the reliability test and validity test based on structural equation model are used to screen them.Finally, three specific variables of financial condition index with different amplitude are determined, and the monthly data of China's financial condition index from January 2006 to December 2013 are calculated by using VAR impulse response function weighting method.Then in order to verify whether the financial condition index can be used as an indicator of the effectiveness of monetary policy, using the linear trend and intertemporal correlation coefficient of financial condition index and inflation rate, Granger causality test,Three methods of impulse response analysis are used to verify the predictive effect of the financial condition index on the inflation rate. The empirical results show the narrow range constructed in this paper.The financial condition index with medium and wide ranges can predict the inflation rate in a short period of 1-3 months. It can be used as an indicator of the effect of monetary policy implementation in China.To a certain extent, this paper fills up the blank in the research field of financial condition index in China, which has certain reference value for the formulation and application of financial condition index in China, and puts forward some relevant policy suggestions from three aspects.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.9

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