中国金融稳定指数的构建及其领先能力分析

首次在将金融稳定的内涵界定为金融系统具备"正常履行其经济职能的能力"和"抵御一定冲击的能力"的基础上,构建中国金融稳定的评价指标体系及测算了2003年第二季度至2016年第一季度间的中国金融稳定指数。使用基于结构向量自回归模型的计量模型赋权法,对得到的指数进行领先能力分析。结果显示,此指数不仅能够良好地反映中国金融稳定的实际情况,而且对中国宏观经济指标具有很好的领先能力。其领先GDP指数、宏观先行合成指数、宏观一致合成指数、宏观滞后合成指数、工业生产者出厂价格指数的期数分别为4.68、3.37、5.19、6.27、4.84个季度,经检验该研究结论是稳健的。

Construction and Leading Ability Research on China's Financial Stability Index

For the first time,we build the indicator system and China's financial stability index between the 2nd quarter of 2003 and the 1st quarter of 2016 on the basis of the connotation of financial stability which is defined as the financial system has "normal ability to fulfill its economic functions" and "the ability to resist shock to some extent".Rarely,we use weighting methods based on econometric models that is structural vector autoregression weighting method.The results of analyzing and testing the leading ability of the China's financial stability index show that not only can it well reflect the actual situation of China's financial stability,but also has the very good leading function for macroeconomic indicators of our country.It leads GDP Index、Macroeconomic Leading Index、Macroeconomic Consistent Index、Macroeconomic Lag Index and PPI by 4.68、3.37、5.19、6.27、4.84 quarters respectively.Through testing,the research conclusion are robust.