摘要
随着全球金融一体化程度日益加深,金融不稳定性可能长期存在。因此,探索适合中国国情的金融稳定指数并对金融运行情况进行测度就显得尤为重要。文章从金融机构、金融市场、宏观经济环境和国际环境四个维度选取20个基础指标,采用2009—2019年的年度数据,通过主成分分析法构建中国金融稳定指数;并运用H-P滤波分析论证了所构建指数的解释效果。结果表明:消费者信心指数在构建中国金融稳定指数中权重较大,反映了消费者经济预期对金融稳定有关键性作用;从四个维度构建的金融稳定指数对中国当前金融运行状况有较好的测度和解释效果。
With the deepening of global financial integration,financial instability may persist for a long time.Therefore,it is particularly important to explore the financial stability index suitable for China’s national conditions and measure the financial operation.This paper selects 20 basic indicators from the four dimensions of financial institutions,financial markets,macroeconomic environment and international environment,and uses the data from 2009 to 2019 to construct China’s financial stability index through principal component analysis(PCA),and then adopts H-P filter to demonstrate the interpretation effect of the constructed index.The results show that consumer confidence index has a large weight in the construction of China’s financial stability index,reflecting that consumer economic expectations play a key role in financial stability,and that the financial stability index constructed from four dimensions has a good measure and interpretation effect on China’s current financial operation.
作者
李强
赵桦
Li Qiang;Zhao Hua(School of Big Data Application and Economics,Guizhou University of Finance and Economics,Guiyang 550025,China)
出处
《统计与决策》
CSSCI
北大核心
2022年第1期131-136,共6页
Statistics & Decision
基金
国家社会科学基金一般项目(18XTJ004)。
关键词
金融稳定指数
H-P滤波
主成分分析
消费者预期
金融运行
financial stability index
H-P filtering
principal component analysis
consumer expectations
financial operation
