基于不同赋权方法的金融状况指数的比较研究
发布时间:2018-08-06 19:14
【摘要】:金融状况指数(FCI)最基本的功能是反映货币政策的执行情况,其已作为很多国家货币政策决策的参考指标和指示器。然而,金融状况指数基本功能的发挥有赖于科学合理的编制方法,编制FCI的两大核心环节是指标选取和赋权方法,而目前大部分有关FCI文献都注重指标选取,而忽略赋权方法的选取。本文在分析了FCI赋权方法的基本理论的基础上,应用不同的赋权方法构建FCI,从FCI与通货膨胀的拟合情况和跨期相关性强弱比较来看,用VAR模型方法和因子分析法构建的FCI预测效果较好。因此,未来可以优先考虑使用这两种赋权方法来编制我国的FCI。
[Abstract]:The most basic function of the financial condition index (FCI) is to reflect the implementation of monetary policy. It has been used as a reference indicator and indicator for monetary policy decisions in many countries. However, the exertion of the basic function of the financial condition index depends on the scientific and reasonable compilation method. The two core links of compiling FCI are the method of index selection and the method of empowerment. At present, most of the relevant FCI literatures pay attention to the selection of indicators. The selection of weighting method is ignored. On the basis of analyzing the basic theory of FCI weighting method, this paper uses different weighting methods to construct FCI, and compares the fit of FCI with inflation and the intertemporal correlation. VAR model and factor analysis are used to predict FCI. Therefore, in the future, priority can be given to the use of these two weighting methods to develop FCIs in China.
【作者单位】: 湖南大学金融与统计学院;
【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)的资助
【分类号】:F830
,
本文编号:2168721
[Abstract]:The most basic function of the financial condition index (FCI) is to reflect the implementation of monetary policy. It has been used as a reference indicator and indicator for monetary policy decisions in many countries. However, the exertion of the basic function of the financial condition index depends on the scientific and reasonable compilation method. The two core links of compiling FCI are the method of index selection and the method of empowerment. At present, most of the relevant FCI literatures pay attention to the selection of indicators. The selection of weighting method is ignored. On the basis of analyzing the basic theory of FCI weighting method, this paper uses different weighting methods to construct FCI, and compares the fit of FCI with inflation and the intertemporal correlation. VAR model and factor analysis are used to predict FCI. Therefore, in the future, priority can be given to the use of these two weighting methods to develop FCIs in China.
【作者单位】: 湖南大学金融与统计学院;
【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)的资助
【分类号】:F830
,
本文编号:2168721
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