基于多层因子模型的中国金融稳定综合指数构建
Construction of China Financial Stability Composite Index Based on Multi-level Factor Model
司颖华 1董文娟1
作者信息
- 1. 兰州财经大学统计与数据科学学院,甘肃 兰州 730020
- 折叠
摘要
利用多层因子模型重建中国金融稳定综合指数(Financial stability compos-ite index,简称FSCI),测度了近十年国内外典型事件造成的波动.另外,还采用主成分分析法对FSCI进行了测算,以便凸显多层因子模型测算FSCI的科学性和优势.研究表明:多层因子模型构建出的FSCI显示,"金融失衡"和"金融不稳定"时期与样本期内发生的国内外金融事件基本相耦合.此外,两种方法计算出的FSCI走势特征基本一致,但是多层因子模型比主成分分析法的估计结果稳定.
Abstract
This article uses a multi-layer factor model to reconstruct the Financial Stability Composite Index(FSCI)of China,measuring the volatility caused by typical events both domestically and internationally in the past decade.In addition,principal component analysis was also used to calculate FSCI,in order to highlight the scientific nature and advantages of multi-layer factor models in calculating FSCI.Research shows that the FSCI constructed by a multi-layer factor model indicates that the periods of"financial imbalance"and"financial instability"are basically coupled with domestic and foreign financial events that occur during the sample period.In addition,the trend characteristics of FSCI calculated by the two methods are basically consistent,but the estimation results of the multi-layer factor model are more stable than those of the principal component analysis method.
关键词
金融稳定综合指数/多层因子模型/序贯最小二乘法/主成分分析法Key words
financial stability composite index/multi layer factor model/sequential least squares method/principal component analysis method引用本文复制引用
出版年
2024
NETL
NSTL
万方数据