我国FCI的构建及其对宏观经济的非对称性冲击  

FCI Construction and Its Asymmetric Impact on Macroeconomy in China

作　　者：肖强[1,2] 白仲林[3] 

机构地区：[1]兰州商学院甘肃经济发展数量分析研究中心 [2]吉林大学 [3]天津财经大学理工学院

出　　处：《中国经济问题》2015年第5期27-34,共8页China Economic Studies

基　　金：教育部人文社科青年基金项目(14YJC790138);国家自然科学基金项目(71271142)的资助

摘　　要：本文针对利率、汇率、股票价格和房地产价格等11个金融变量,利用动态因子模型得到共同金融因子,然后基于VAR模型构建了中国金融状况指数(FCI)。并且以FCI作为转移变量,建立了包含FCI、产出和价格的因子扩展的logistic平滑转移向量自回归(FALSTVAR)模型,分析FCI对宏观经济变量冲击响应对金融状况变迁的依赖性。实证结果表明,在不同金融状况下,FCI代表的金融市场对产出和价格的影响具有非对称性。在金融状况较好情形下,FCI对产出具有显著的正向冲击效应;而在金融状况恶化的情形下,FCI对产出具有显著负的即有害的影响。In this paper,11 financial variables are firstly selected from the typical macro variables of China＇s economy which could be employed to represent interest rates,exchange rates,stock prices and real estate prices. Then,dynamic factor model is applied to extract their common factors,which is used subsequently combined with VAR model,to construct China＇s financial conditions index（ FCI）. 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. The empirical results show that financial market reflected by the FCI has an asymmetric impact on the output and the price in different financial conditions.When in a good financial condition,FCI has a significantly positive impact on the output. In a deteriorating financial condition,however,FCI has an apparently negative or harmful effect on output.

关 键 词：FCI 宏观经济 动态因子模型 FALSTVAR 

分 类 号：F832[经济管理—金融学] F124