Abstract:
Financial Condition Index provides the empirical evidence for the perspective monetary policy and financial risk warning. Based on the quarterly GDP and other monthly observations, this paper constructs the mixed frequency FCI model to measure the Chinese FCI and investigate its kisk warning function. We find that: first, the mixed frequency models have the better results than that of same frequency model. Real estate price and GDP are major driving factors of FCI. Second, the FCI is pro-cyclical. It has more closely relation with economic climate leading index. However, the correlation between FCI and consistent index is stronger in recession period. Third, the FCI is the leading factor of consistent index according to Granger causality. It shows warning function to the fluctuation of future macro fundamental. Moreover, The FCI can also improve the forecast accuracy of economic climate index. Fourth, when using the proxy variables of stock market and monetary policy, we also obtain the similar measure results. It means the robustness of the above findings.
尚玉皇, 郑挺国. 中国金融形势指数混频测度及其预警行为研究[J]. 金融研究, 2018, 453(3): 21-35.
SHANG Yuhuang, ZHENG Tingguo. The Mixed Frequency Measuring of Chinese FCI and Its Risk Warning Behavior. Journal of Financial Research, 2018, 453(3): 21-35.
[1]卞志村、孙慧智和曹媛媛,2012,《金融形势指数与货币政策反应函数在中国的实证检验》,《金融研究》第8期,第44~55页。 [2]刁节文和章虎,2012,《基于金融形势指数对我国货币政策效果非线性的实证研究》,《金融研究》第4期,第32~44页。 [3]封北麟和王贵民,2006,《货币政策与金融形势指数FCI:基于VAR的实证分析》,《数量经济技术经济研究》第11期,第142~150页。 [4]郭晔和杨娇,2012,《货币政策的指示器--FCI的实证检验和比较》,《金融研究》第8期,第16~28页。 [5]何德旭,2017,《密切关注金融风险,积极维护金融安全》,《银行家》第10期,第14~15页。 [6]屈军和朱国华,2016,《动态金融状况指数构建与应用研究》,《商业研究》第1期,第101~107页。 [7]尚玉皇、郑挺国和夏凯,2015,《宏观因子与利率期限结构:基于混频Nelson-Siegel模型》,《金融研究》第6期,第14~29页。 [8]王维国、王霄凌和关大宇,2011,《中国金融条件指数的设计与应用研究》,《数量经济技术经济研究》第12期,第115~131页。 [9]肖强和司颖华,2015,《我国FCI的构建及对宏观经济变量影响的非对称性》,《金融研究》第8期,第95~108页。 [10]徐国祥和郑雯,2013,《中国金融状况指数的构建及预测能力研究》,《统计研究》第8期,第17~24页。 [11]郑挺国和尚玉皇,2014,《基于宏观基本面的股市波动率度量与预测》,《世界经济》第12期,第118~139页。 [12]郑挺国和王霞,2013,《中国经济周期的混频数据测度及实时分析》,《经济研究》第6期,第58~70页。 [13]周德才、冯婷和邓姝姝,2015,《我国灵活动态金融状况指数构建与应用研究--基于MI-TVP-SV-VAR模型的经验分析》,《数量经济技术经济研究》第5期,第114~130页。 [14]Brave, S A., and Butters R.A. 2011. “Monitoring Financial Stability: A Financial Conditions Index Approach.” Economic Perspectives, 35(1): 22~43. [15]English, W., Tsatsaronis K., and Zoli E. 2005. “Assessing the Predictive Power of Measures of Financial Conditions for Macroeconomic Variables.” Bank for International Settlements, 22: 228~252. [16]Ghysels, E., Sinko A., and Valkanov R. 2007. “MIDAS Regressions: Further Results and New Directions.” Econometric Reviews, 26(1): 53~90. [17]Goodhart, C. and Hofmann B. 2000. “Financial Variables and the Conduct of Monetary Policy.” Sveriges Risk bank, Working Paper No. 12. [18]Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K. and Watson, M. 2010. “Financial Conditions Indexes: A Fresh Look After the Financial Crisis.” NBER WorkingPaper Series, 16150. [19]Koop and Korobilis D. 2014. “A New Index of Financial Conditions.” European Economic Review, 71:101~116. [20]Lack, C.P. 2003. “A Financial Conditions Index for Switzerland.” Bank for International Settlements, 19: 398~413. [21]Matheson, T. D. 2012. “Financial Conditions Indexes for the United States and Euro area.” Economics Letters, 115(3): 441~446.