【摘要】：金融狀況指數(shù)(FCI)最基本的功能是反映貨幣政策的執(zhí)行情況,其已作為很多國家貨幣政策決策的參考指標(biāo)和指示器。然而,金融狀況指數(shù)基本功能的發(fā)揮有賴于科學(xué)合理的編制方法,編制FCI的兩大核心環(huán)節(jié)是指標(biāo)選取和賦權(quán)方法,而目前大部分有關(guān)FCI文獻(xiàn)都注重指標(biāo)選取,而忽略賦權(quán)方法的選取。本文在分析了FCI賦權(quán)方法的基本理論的基礎(chǔ)上,應(yīng)用不同的賦權(quán)方法構(gòu)建FCI,從FCI與通貨膨脹的擬合情況和跨期相關(guān)性強(qiáng)弱比較來看,用VAR模型方法和因子分析法構(gòu)建的FCI預(yù)測效果較好。因此,未來可以優(yōu)先考慮使用這兩種賦權(quán)方法來編制我國的FCI。
[Abstract]:The most basic function of the financial condition index (FCI) is to reflect the implementation of monetary policy. It has been used as a reference indicator and indicator for monetary policy decisions in many countries. However, the exertion of the basic function of the financial condition index depends on the scientific and reasonable compilation method. The two core links of compiling FCI are the method of index selection and the method of empowerment. At present, most of the relevant FCI literatures pay attention to the selection of indicators. The selection of weighting method is ignored. On the basis of analyzing the basic theory of FCI weighting method, this paper uses different weighting methods to construct FCI, and compares the fit of FCI with inflation and the intertemporal correlation. VAR model and factor analysis are used to predict FCI. Therefore, in the future, priority can be given to the use of these two weighting methods to develop FCIs in China.
【作者單位】： 湖南大學(xué)金融與統(tǒng)計學(xué)院;
【基金】：國家社會科學(xué)基金重點(diǎn)項目“金融狀況指數(shù)體系的構(gòu)建與應(yīng)用研究”(13ATJ002)的資助
【分類號】：F830
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本文編號：2168721