本文選題：金融狀況指數(shù)(FCI) + 通脹率��； 參考：《財經(jīng)問題研究》2017年06期

【摘要】：本文利用時變因子載荷矩陣TVP-FAVAR模型提取出相關(guān)金融變量的共同因子,并借助動態(tài)模型選擇方法篩選每期的最優(yōu)因子,以此構(gòu)建了我國新型金融狀況指數(shù)(FCI),從相關(guān)性、因果關(guān)系和預(yù)測能力等視角分析了FCI與通脹率之間的關(guān)系。結(jié)果顯示:以時變參數(shù)和時變維度方法構(gòu)建的新型FCI與我國宏觀經(jīng)濟現(xiàn)實吻合程度較好;相對于傳統(tǒng)方法,本文構(gòu)建的FCI與通脹率之間具有較高的相關(guān)性和較低的預(yù)測誤差,且FCI相對通脹率平均先行2-3個月,能夠較好地預(yù)測通脹的短期未來走勢,可以作為貨幣政策制定的參考指標(biāo)。
[Abstract]:In this paper, we use the time-varying factor of factor load matrix TVP-FAVAR model to extract the common factors of relevant financial variables, and select the optimal factor of each period with the dynamic model selection method. In order to build a new financial situation index (FCI) in China, the relationship between FCI and the rate of inflation is analyzed from the angle of relevance, causality and predictive energy. The results show that the new FCI constructed with time-varying parameter and time-varying dimension method is in good agreement with our macro-economic reality. Compared with the traditional method, the FCI and the inflation rate have high correlation and low prediction error, and the relative inflation rate of FCI is 2-3 months on average, which can better predict the short term inflation. The trend can be used as a reference index for monetary policy making.
【作者單位】： 東北財經(jīng)大學(xué)經(jīng)濟學(xué)院;東北財經(jīng)大學(xué)經(jīng)濟計量分析與預(yù)測研究中心;
【基金】：國家社會科學(xué)基金重大項目“新常態(tài)下我國宏觀經(jīng)濟監(jiān)測和預(yù)測研究”(15ZDA011) 國家自然科學(xué)基金項目“基于非參數(shù)方法和非線性模型的經(jīng)濟景氣和通貨膨脹監(jiān)測預(yù)警研究”(71173029) 遼寧省特聘教授(2012)項目
【分類號】：F822.5;F832
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本文編號：2054174