中国金融压力指数构建与经济预警的实证研究
投稿时间:2017-06-24  修订日期:2017-06-24  点此下载全文
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戴步斌 湖南商学院经济与贸易学院 410205
中文摘要:摘要:本文选取中国股票市场、外汇市场、保险市场、银行部门以及国际金融市场中的9个重要因素指标,构建具有时效性的中国金融压力指数(FSI);进一步地,基于Granger线性因果检验结果,构建我国经济发展形势指数(SPMI)带有解释变量的自回归模型,分析FSI与SPMI的关系及影响效应。研究表明,金融压力对经济发展有负面影响,并得出FSI每增加1个单位,SPMI长期将下降0.6305个单位。本文构建的金融压力指数能够很好地反映我国金融机构在不同时期所承受的压力,对揭示我国所面临金融压力的大小和预测我国经济发展形势有一定作用。
中文关键词:关键词:金融压力指数  极值法  信用加总权重法  采购经理指数  经济预警
 
Empirical Study on the Construction of Financial Pressure Index and Economic Early Warning in China
Abstract:Abstract: The paper selects 9 important factors from?China Stock Markets, Foreign Exchange Market, Insurance Market, Banking Sector and International Financial Market to construct time-efficient China’s Financial Stress Index (FSI). Furthermore, based on the linear Granger causality test results, the paper constructs autoregressive model of China's economic development situation index (SPMI) with explanatory variables to analyze the relationship and influential effects between China’s FSI and SPMI. The research shows that financial stress has a negative impact on economic development, and concludes that SPMI will decline by 0.6305 unit when FSI increases by 1 unit for a long time. The FSI constructed in this paper can reflect the degrees of Financial Stress that China confronts in different periods, which plays a role in revealing the financial stress which China is undertaking and forecasting the development of economy in China.
keywords:Key Words:FSI  the extreme value method  credit footing weighting method  PMI  Economic Early-Warning
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