中国金融稳定状态指数的构建——基于状态空间模型分析  

Construction of China’s Financial Stability Conditions Index:An Analysis Based on the State Space Model

作　　者：王雪峰[1] 

机构地区：[1]江西财经大学旅游与城市管理学院,江西南昌330013

出　　处：《当代财经》2010年第5期51-60,共10页Contemporary Finance and Economics

摘　　要：由美国次贷危机所引发的世界金融风暴使得金融稳定问题再次受到世界各国的关注。以简化的总需求方程为基础,利用状态空间模型和Kalman Filter算法构建的旨在反映中国金融状态的金融稳定状态指数(FSCI)表明,主要金融变量对中国金融稳定状况影响的贡献具有时变特征;1999-2008年中国金融运行尽管有所起伏,但基本平稳。通过样本内和样本外检验发现,该指数包含了重要的金融变量的未来信息,对中国金融稳定状况的变化具有一定的预测作用。The world financial crisis triggered by U.S. subprime mortgage makes the problem of financial stability more concerned by countries around the world. Based on the simplified aggregate demand equation and with the state space model and Kalman filter algorithm, this paper constructs a financial stability conditions index （FSCI） to reflect China＇s financial stability conditions. It is indicated that the contributions of the major financial variables to China＇s FSCI have a feature of time-varying. China＇s financial operation during the period of 1999-2008 is basically stable in spite of some ups and downs. Through in-sample and out-of-sample testing, it is found that the index includes important future information of financial variables, which can play a certain role of forecasting the changes of China＇s financial stability.

关 键 词：金融稳定状态指数 状态空间模型 简化的总需求方程 

分 类 号：F832[经济管理—金融学]