科技赋能背景下动态金融状况指数的构建及其应用研究  

Research on the Construction and Application of Dynamic Financial Conditions Index Under the Background of Science and Technology Empowerment

作　　者：秦研 余杰 范从来[1] QIN Yan;YU Jie;FAN Cong-lai(School of Business,Nanjing University,Nanjing 210093)

机构地区：[1]南京大学商学院,南京210093

出　　处：《软科学》2022年第8期1-8,共8页Soft Science

基　　金：国家自然科学基金面上项目(71673132)。

摘　　要：首先使用DMA和TVP-SV-FAVAR模型构建了我国动态金融状况指数;然后,以金融状况指数为转换变量建立了一个两区制的TVAR模型,研究了我国金融状况的区制转换特征以及金融冲击对于宏观经济的非对称效应。实证结果表明:我国金融市场具有明显的区制转换特征,金融状况指数可以提前对金融市场的区制转换给出提示;同时工业增加值与CPI在金融状况紧张和良好的状态下对金融冲击的反应有差异。This paper firstly uses the DMA and TVP-SV-FAVAR models to construct China′s dynamic financial conditions index.Then it studies the characteristics of the regional system conversion of China′s financial condition and the asymmetric effect of financial shocks on the macro economy by a two-zone TVAR model with the financial conditions index as a conversion variable.The empirical results show that China′s financial market has clear characteristics of regional system transformation, and the financial conditions index can give hints on the regional system transformation of the financial market in advance.At the same time, there are differences between industrial added value and CPI in response to financial shocks under the state of tight and good financial conditions.

关 键 词：金融状况指数 科技赋能 金融冲击 宏观经济 TVAR模型 

分 类 号：F832[经济管理—金融学]