中国金融状况指数的构建及其时间演化特征

通过选取利率、汇率、房价和股价等方面的指标,利用VAR广义脉冲响应模型赋权来构建中国金融状况指数,并运用马尔科夫区制转移模型对其进行时间演化特征分析。结果表明:中国金融状况指数具有非线性、周期性和两阶段动态变化特征,且在扩张阶段和紧缩阶段表现出相互变迁的结构性突变。同时,中国金融状况指数在各区制内的平滑概率值较大,均接近于1,说明各区制具有一定的持续性。

Construction and Time Evolution Characteristic Analysis of Financial Condition Index

This paper selected indicators of interest rates, exchange rates, house prices and stock prices and used the generalized impulse response VAR model to build a financial conditions index. We used a Markov regime switching model to analyze the time evolution of the financial conditions index. The results showed that the financial conditions index had the characteristics of nonlinear, cyclical and dynamic changes of two stages and exhibited structural mutations of mutual change in the expansion phase and contraction phase. Smooth probability values of financial condition index within the same regime are close to 1, indicating that the regime has certain regime continuity.