我国金融形势指数的构建与混频预测
The Construction and Mixed-Frequency Forecast of China's Financial Condition Index
薛立国 1张谊浩 1张润驰 2马永远3
作者信息
- 1. 南京大学经济学院
- 2. 南京邮电大学经济学院金融系
- 3. 南京航空航天大学经济与管理学院
- 折叠
摘要
近年来,我国黄金和成品油的市场需求有所升温,本文尝试探讨是否应将黄金价格和西德克萨斯轻质(WTI)原油价格纳入构建我国金融形势指数.研究表明,纳入黄金价格的我国金融形势指数能够更好地拟合居民消费价格指数(CPI)的演进路径,且在时序上领先CPI三个季度;但纳入WTI原油价格不仅加剧了金融形势指数的波动,还弱化了其与CPI的关系.通过构建16变量混频贝叶斯向量自回归(MF-BVAR)模型,并综合运用点预测、区间预测、密度预测三种方法,对比混频贝叶斯向量自回归模型与季频贝叶斯向量自回归(QF-BVAR)模型、季频向量自回归(QF-VAR)模型对金融形势指数的预测能力.实证结果显示,MF-BVAR模型对于金融形势指数的预测效果优于QF-BVAR和QF-VAR模型,且该结论不受预测期的影响.季度内不同月份的信息差异对金融形势指数预测产生显著影响,且随着预测期的增加,不同组别之间金融形势指数的预测能力逐渐趋同.本研究对于加强金融形势预测和防范金融市场风险具有理论价值与实践意义.
Abstract
In recent years,the demand for gold and refined oil in the Chinese market has increased.This paper develops a financial condition index for China with the inclusion of gold price and WTI crude oil price.The research findings suggest that the incorporation of gold price in China's financial condition index enables a more accurate alignment with the trajectory of the Consumer Price Index(CPI)and precedes CPI by three quarters in time sequence.Conversely,the inclusion of WTI crude oil price in China's financial condition index not only exacerbates the volatility of the index,but also diminishes its correlation with CPI.It also constructs a mixed-frequency Bayesian vector autoregression model(MF-BVAR)including 16 variables,and comprehensively adopts three methods of point forecast,interval forecast and density forecast to compare the forecasting power of MF-BVAR,quarterly-frequency Bayesian vector autoregression(QF-BVAR),and quarterly-frequency vector autoregression(QF-VAR)in their ability of forecasting the financial condition index.The empirical results show that MF-BVAR model is superior to QF-BVAR and QF-VAR models in forecasting the financial condition index,and this conclusion is not affected by the forecast horizon.The information differences in different months within a quarter have a significant impact on forecasting the financial condition index.With the increase of the forecast horizon,the forecasting ability of the financial condition index among different groups gradually converges.This study holds both theoretical and practical significance in enhancing the accuracy of financial condition forecasting and mitigating risks within the financial market.
关键词
金融形势指数/黄金价格/WTI原油价格/混频预测Key words
Financial Condition Index/Gold Price/WTI Crude Oil Price/Mixed-Frequency Forecast引用本文复制引用
基金项目
国家自然科学基金面上项目(71672079)
中国博士后科学基金面上项目(2022M721568)
江苏省高等学校哲学社会科学研究项目(2023SJYB0004)
江苏省卓越博士后计划(2023ZB835)
出版年
2024
NETL
NSTL
万方数据