基于TVP-HFAVAR模型的我国动态金融状况指数构建及应用
Construction and Application of China's Dynamic Financial Condition Index Based on TVP-HFAVAR Model
司颖华 1文清 1汪卢俊2
作者信息
- 1. 兰州财经大学统计与数据科学学院
- 2. 南京财经大学财政与税务学院
- 折叠
摘要
随着金融深化和金融广化的不断发展,金融冲击对实体经济的影响愈发明显,构建能够及时反映金融市场变动并监控宏观经济走势的我国动态金融状况指数(HDFCI),具有重要意义.本文首先使用混频动态因子(MF-DFM)模型构建月度GDP,然后基于分层因子模型从利率、信贷、货币、房价、股价和汇率6类金融子市场共37个金融指标中提取出6个金融公因子,再将月度GDP和金融因子带入时变因子加强型向量自回归(TVP-FAVAR)模型来构建我国动态金融状况指数,并分析其与CPI、GDP的关系.研究发现,本文构建的HDFCI与CPI、GDP有着较强的相关性,符合我国金融市场的现实情况;HDFCI的各权重具有时变性,其中房价、信贷和货币市场权重相对较高,而汇率、利率等权重相对较小;从长周期看,HDFCI比CPI和GDP领先约6个月,能有效预测宏观经济波动.本文拓展了金融状况指数的方法研究,构建了符合我国现实情况和经济走势的金融状况指数,可为相关政策制定提供科学依据.
Abstract
With the continuous development of financial deepening and financial broadening,the effect of financial shocks on the real economy has become increasingly pronounced,and thus it is important to construct a dynamic financial condition index(HDFCI)of China that can reflect financial market movements and monitor macroeconomic trends in a timely manner.This paper first constructs monthly GDP using mixed frequency dynamic factor model(MF-DFM),then extracts 6 financial public factors based on hierarchical factor model from 37 financial indicators in 6 financial sub-markets:interest rate,credit,currency,house price,stock price and exchange rate,and then brings monthly GDP and financial factors into time-varying factor enhanced vector autoregressive(TVP-FAVAR)model to construct China dynamic financial condition index and analyze its relationship with CPI and GDP.It is found that the HDFCI constructed in this paper has a strong correlation with CPI and GDP,which is in line with the reality of China's financial market;the weights of the HDFCI are time-varying,among which the house price,credit and currency market account for a relatively high proportion,while the exchange rate and interest rate account for a relatively small proportion;in the long term,HDFCI leads CPI and GDP by about 6 months and can effectively predict macroeconomic fluctuations.This paper broadens the methodological research on the financial conditions index and develops an index that is aligned with China's actual economic conditions and trends,offering a scientific foundation for relevant policy formulation.
关键词
金融状况指数/混频动态因子模型/分层因子模型/谱分析Key words
Financial Condition Index/Mixed Frequency Dynamic Factor Model/Hierarchical Factor Model/Spectrum Analysis引用本文复制引用
出版年
2024
NETL
NSTL
万方数据