金融状况指数的动态特征及其有效性研究

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。%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 parame-ters 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 asym-metric characteristics,which leads to continuous change of its effectiveness.Besides,the effec-tiveness of financial operation is fluctuated between 0.3 and 0.4,and the effectiveness of the o-verall financial condition influences real economy development presents enhanced situation.