Construction of China Financial Stability Composite Index Based on Multi-level Factor Model
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.
NETL
NSTL
万方数据
