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中南大学学报(社会科学版)
ZHONGNAN DAXUE XUEBAO(SHEHUI KEXUE BAN)

2014年08月第20卷第4期
   
本文已被:浏览2018次    下载901次   
文章编号:1672-3104(2014)04-0017-06
 
金融状况指数的FAVAR模型构建及效用检验
 
许涤龙1,刘妍琼1,郭尧琦2
 
(1. 湖南大学金融与统计学院,湖南长沙,410079;
2. 中南大学数学与统计学院,湖南长沙,410083)
 
摘  要: 目前多数研究均选用利率、汇率、房价和股价等指标构建金融状况指数,造成大量经济信息丢失,故通过建立FAVAR模型,选择利率类、汇率类、房价类及股价类等69个经济指标,采用广义脉冲响应函数构建金融状况指数,并分析金融状况指数对我国通货膨胀率的预测能力。结果表明:利用FAVAR模型编制的金融状况指数能有效预测未来5~8个月内的通货膨胀运行趋势,具有较强先导作用。建议政府机构定期编制金融状况指数,前瞻性地制定相关政策,为及时降低通胀水平提供帮助。
 
关键词: FCI;FAVAR模型;金融状况指数;广义脉冲响应;通货膨胀率
 
 
Construction and utility test of financial condition index based on FAVAR
 
XU Dilong, LIU Yanqiong, GUO Yaoqi
 
(1. Finance and Statistics School of Hunan University, Changsha 410079, China;
2. Mathematics and Statistics School of Central South University, Changsha 410083, China)
 
Abstract: A general revision shows that the current study, most papers chose specific benchmark interest rate, exchange rate, house price and stock price to build FCI index, losing a lot of economic information. This paper establishes factors enhancing vector auto-regression model system, chooses interest rate categories, exchange rate categories, house price categories and stock price categories about 69 economic indicators, constructs the nation’s financial conditions index through the generalized impulse response function empowering, and empirical analyzes predictive ability of financial conditions index to Chinese inflation rate. The results show that financial conditions index compiled by employing of FAVAR model can predict the next 5~8 months inflation running trend of inflation rate, which has a leading role to inflation rate. Finally, it suggests the government agencies to compile financial condition index regularly and proactively develop policies so as to timely help reduce the level of inflation.
 
Key words: Financial Conditions Index (FCI); FAVAR Model; Inflation Rate; Generalized Impulse Response
 
 
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