中国实时金融状况指数的构建

金融状况指数(FCI)综合了多个金融变量的信息,能够比单个指标更全面、直观地反映金融市场的整体运行情况。基于动态因子模型直接利用混频数据测算我国的实时FCI,突破了传统方法要求数据频度一致的限制,从而大大增强了FCI的时效性,使FCI具备金融市场流动性指示器的功能。实证研究表明,改进后的FCI能够揭示近年来我国货币政策的松紧程度,其走势比CPI月同比领先7个月,对通胀的预测效果优于其构成变量。

Construction of China's Real-time Financial Conditions Index

Because Financial Conditions Index(FCI) integrates the movements of multiple financial variables, it describes the financial market more comprehensively than any single variable. Based on dynamic factor model, this paper extracts real-time FCI from mixed frequencies data directly. Then the daily FCI can not only reflect the tenseness of monetary policy, but also serve as an indicator for the liquidity of financial market. Furthermore, we examine the forecast performance of FCI with vintage data. Empirical evidences show that real-time FCI is reliable and more helpful in revealing the turning points of inflation than its constituting variables.