金融状况指数的动态特征及其有效性研究

李正辉; 郑玉航

金融状况指数的动态特征及其有效性研究

引用本文：李正辉，郑玉航.金融状况指数的动态特征及其有效性研究[J].财经理论与实践,2015,(4):39-44

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作者	单位
李正辉，郑玉航	（1.广州国际金融研究院,广东广州440100 2.广州大学金融研究院,广东广州440100 3.湖南大学金融与统计学院,湖南长沙410079)

中文摘要:运用三区制马尔科夫转换模型，考量中国金融状况指数（FCI）的动态变化特征，并采用变参数状态空间模型，研究金融运行对实体经济发展的有效作用程度。结果发现：中国金融状况具有敏感的区制转换特征以及明显的非对称性特征，从而导致了其有效性不断变化；金融运行的有效作用程度在0.3~0.4之间波动，整体上对实体经济发展的有效性呈现增强态势。

中文关键词:金融状况指数动态特征变参数状态空间模型有效性

Research on the Dynamic Characteristics and Effectiveness of the Financial Conditions Index

Abstract:The Markov switching model with three regimes is used to research the dynamic change of China's financial condition index (FCI), and the state space model with varying parameters is used to analyze the effectiveness of financial operation on real economy. The result shows that China's financial condition has sensitive regime switching characteristics and obviously asymmetric characteristics, which leads to continuous change of its effectiveness. Besides, the effectiveness of financial operation is fluctuated between 0.3 and 0.4, and the effectiveness of the overall financial condition influences real economy development presents enhanced situation.

keywords:Financial Condition Index Dynamic characteristics State Space Model with varying parameters Effectiveness

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