基于FECM模型的社会融资规模对我国宏观经济影响的测度  

FECM Based the Measurement of Aggregate Financing to the Real Economy Influence on Macroeconomic

作　　者：樊元[1] 龙飞[1] 

机构地区：[1]西北师范大学经济学院,兰州730070

出　　处：《应用泛函分析学报》2014年第1期18-25,共8页Acta Analysis Functionalis Applicata

摘　　要：从社会融资规模入手更加全面深入地研究了金融与实体经济的关系,引入了能够很好地处理大规模数据的FAVAR模型以及它的改进模型FECM,后者结合了误差修正、协整和动态因子分析的特点,比起单纯的ECM模型和FAVAR模型有着理论上的优点.实证研究证实了FECM模型在捕获大规模数据的长期趋势信息和预测效果方面有着明显的优势,同时也表明社会融资规模对实体经济产生了较大影响,更加全面的编制这一指标可以加强金融对实体经济的支持.We analyze the relation of the financial sector and the real economy with an aggregate financing to the real economy （AFRE） indicator. We use a FAVAR model which preferred to deal with the lager-scale data and its improved model FECM. The FECM combines error-correction, co-integration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. To conclude, the theory and empirical results, taken together, provide grounds for optimism concerning the usefulness of long-run information captured through the factors and the efficacy of factor-augmented error correction models, and provide a rich set of questions for the future. Our study also shows that AFRE can influence the real economy well and enhancing

关 键 词：FAVAR模型 FECM模型 社会融资规模 预测 

分 类 号：O175.8[理学—数学]