摘要
通过构建包含利率、汇率、房价、股价、货币供应量和第二产业增加值比重共六个指标的FCI,以具有可变参数特征的状态空间模型为基础,拟合具有可变权重的FCI。实证结果显示:FCI在样本期内的拟合效果基本符合经济现实,用于指示金融松紧程度和经济运行方向的功能明显,2005年第3季度、2008年第3季度和2011年第3季度等时段的金融形势最为紧张,2004年第2季度和2011年第1季度的金融形势最为宽松。
This paper construct FCI with interest rate, exchange rate, real estate price, stock price, money supply and the proportion of added value of second industry, and then fitting with variable weight to FCI based on the state space model with variable parameters. The empirical results show that the fitting results in sample period is basically consistent with the economic reality, it＇s function of indicate the degree of financial slack and direction of economic operation is obviously. Overall, the financial situation is tension in the third quarter of 2005, the third quarter of 2008 and the third quarter of 2011 while relatively easing in the second auarter of 2004 and the first ouarter of 2011.
出处
《统计与信息论坛》
CSSCI
2014年第3期29-35,共7页
Journal of Statistics and Information
基金
国家社会科学基金重点项目<金融状况指数体系的构建与应用研究>(13ATJ002)
