Research on the Dynamic Interaction between China's Financial Conditions and the Real Economy
Based on TVP-FAVAR-SV model,this paper selects representative indicators from nine categories of mar-kets,including the stock market,to construct China's financial conditions index(FCI).Combined with a series of financial risk events,this paper studies the time-varying impulse response and risk spillover effect between China's financial condi-tion and the real economy.The results show that there is a significant bidirectional interaction between the real economy and financial conditions,and the easing of financial conditions has a positive pulling effect on the real economy and a long-run positive impact on economic indicators such as consumer confidence,consumer prices and industrial value added.The growth of the real economy has a long-term positive effect on the real estate market,exchange rates and interest rates,and the positive effect of such growth on the real estate market is particularly significant.
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