本文選題：金融狀況指數(shù)　切入點(diǎn)：變量選擇　出處：《湖南大學(xué)》2014年碩士論文

【摘要】：貨幣政策的有效性是各國最關(guān)注的問題之一，Goodhart和Hofmann提出的金融狀況指數(shù)在衡量一國整體的金融狀況、評估貨幣政策的松緊程度、預(yù)測未來的產(chǎn)出增長率和通貨膨脹走勢等方面具有獨(dú)特的作用，已被多國貨幣當(dāng)局用作貨幣政策決策的參考指標(biāo)和指示器。但是我國在這方面的研究相對較晚、較少，目前只有高盛定期發(fā)布中國的金融狀況，我國央行并沒有制定和定期發(fā)布我國的金融狀況指數(shù)，在構(gòu)建變量的選擇方面的研究更是少之又少。 基于這一現(xiàn)狀，本文以科學(xué)性、系統(tǒng)性、全面性和可行性為原則，以貨幣政策的傳導(dǎo)渠道為理論依據(jù)，以金融狀況指數(shù)的構(gòu)建變量選擇為切入點(diǎn)，首先確定我國窄幅金融狀況指數(shù)、中幅金融狀況指數(shù)和寬幅金融狀況指數(shù)各自的變量篩選池，然后通過信度檢驗(yàn)和基于結(jié)構(gòu)方程模型的效度檢驗(yàn)兩個層次的篩選，最終確定構(gòu)建三種不同幅度的金融狀況指數(shù)的具體變量，并采用VAR脈沖響應(yīng)函數(shù)賦權(quán)法計算出從2006年1月到2013年12月的我國金融狀況指數(shù)的月度數(shù)據(jù)。隨后為了驗(yàn)證金融狀況指數(shù)究竟能否作為貨幣政策執(zhí)行效果的指示器，利用金融狀況指數(shù)和通脹率二者的線性趨勢與跨期相關(guān)系數(shù)、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)分析三種方法來驗(yàn)證金融狀況指數(shù)對通脹率的預(yù)測作用，實(shí)證結(jié)果顯示本文構(gòu)建的窄幅、中幅和寬幅三種幅度的金融狀況指數(shù)在短期（1—3個月）內(nèi)對通脹率具有很好的預(yù)測效果，，可以作為我國貨幣政策執(zhí)行效果的指示器。 本文在一定程度上填補(bǔ)了國內(nèi)在金融狀況指數(shù)研究領(lǐng)域的空白，對我國金融狀況指數(shù)的制定和應(yīng)用具有一定的參考價值，并據(jù)此從三個方面提出了相關(guān)的政策建議。
[Abstract]:The effectiveness of monetary policy is one of the most important issues of concern to all countries. Goodhart and Hofmann put forward the Financial condition Index, which measures the overall financial situation of a country and assesses the degree of monetary policy tightening.The forecast of future output growth rate and inflation trend has a unique role, and has been used as a reference indicator and indicator for monetary policy decisions by multinational monetary authorities.However, the research in this area in China is relatively late and less. At present, only Goldman Sachs regularly publishes the financial situation in China, and the central bank of China has not formulated and published the financial situation index of our country regularly.The research on the choice of construction variables is even less.Based on this situation, this paper takes the principles of science, systematization, comprehensiveness and feasibility as the principle, the transmission channel of monetary policy as the theoretical basis, and the choice of financial condition index as the starting point.Firstly, the variable screening pools of narrow financial condition index, middle financial condition index and broad-band financial condition index are determined, and then the reliability test and validity test based on structural equation model are used to screen them.Finally, three specific variables of financial condition index with different amplitude are determined, and the monthly data of China's financial condition index from January 2006 to December 2013 are calculated by using VAR impulse response function weighting method.Then in order to verify whether the financial condition index can be used as an indicator of the effectiveness of monetary policy, using the linear trend and intertemporal correlation coefficient of financial condition index and inflation rate, Granger causality test,Three methods of impulse response analysis are used to verify the predictive effect of the financial condition index on the inflation rate. The empirical results show the narrow range constructed in this paper.The financial condition index with medium and wide ranges can predict the inflation rate in a short period of 1-3 months. It can be used as an indicator of the effect of monetary policy implementation in China.To a certain extent, this paper fills up the blank in the research field of financial condition index in China, which has certain reference value for the formulation and application of financial condition index in China, and puts forward some relevant policy suggestions from three aspects.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.9

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