Abstract:
Based on more extensive financial variables selected from Chinese macro economy, this paper employs dynamic factor model to extract their common factors which are used to construct China’s financial conditions index (FCI) with the support of the reduced aggregate demand equation. Then, using Cross-spectrum Analysis, the correlation between China’s FCI and output and price are tested from the prospective of frequency domain and time domain, respectively. After that, FCI is taken as transfer variable to build the factor-extended logistic smooth transfer vector auto-regression (FALSTVAR) in which FCI, output and price are contained, and then using FALSTVAR model, this paper analyzes whether financial market reflected by the FCI has an asymmetric impact on the output and the price in different financial conditions. The empirical results show that: first, FCI not only shares the same main cycle with macro economy, but changes ahead of output and price; second, When in a good financial condition, financial markets have a significantly positive contribution to the output, while in a deteriorating financial condition, financial markets have an apparently negative or harmful effect on output, so as to hinder the growth of the real economy.
肖强, 司颖华. 我国FCI的构建及对宏观经济变量影响的非对称性[J]. 金融研究, 2015, 422(8): 95-108.
XIAO Qiang, SI Yinghua. China’s FCI Construction and Its Asymmetric Impact on Macroeconomic Variables. Journal of Financial Research, 2015, 422(8): 95-108.
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