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在经济高速发展但是潜在金融危机持续存在时代，金融市场的发展直接关乎国家的整体经济发展质量的好坏，国外已经相继研究出本国金融状况指数的构建方法，而我国尚未制定出统一的金融状况指数的构建体系，因此对我国金融状况指数的研究至关重要，本文主要研究内容如下：

本文首先通过混频动态因子模型预测我国包含季度信息的月度频率GDP数据，然后将预测的GDP数据作为构建金融状况指标的宏观经济变量，并结合利率，汇率，资产价格，货币供应量这五类指标的月度数据通过动态因子模型提取出金融变量的共同因子。然后通过这些共同因子对通货膨胀的冲击效应确定其在金融状况指数中的权重，进而得到我国月度金融状况指数。

接着通过谱分析中的周期谱，平方相干谱和相谱分析本文所构建的金融状况指数与宏观经济变量GDP和CPI的周期特征，关联程度以及时滞特征。结果表明我国金融状况指数和宏观经济变量具有相似的波动周期，周期大致为40个月；同时本文构建的金融状况指数和宏观经济变量之间的关联性很强，且存在长周期上的递增关联性特征；此外通过相谱分析发现本文所构建的金融状况指数与GDP和CPI之间存在明显的领先性，即我国金融状况指数的波动是领先于GDP和CPI的波动的，且领先时间大致为10个月。这不仅验证了本文所构建金融状况指数的有效性，而且还说明了本文所构建的金融状况指数能够作为宏观经济的先行指标，能在一定的程度上预测宏观经济的波动。

另外本文通过马尔可夫区制转移分析发现本文所构建的金融状况指数具有明显的门限效应，通过马尔可夫区制转移能够很好的识别金融状况的两个区制，即金融状况良好和金融状况恶化；通过脉冲响应函数研究不同区制的金融状况指数对宏观经济变量GDP和CPI的冲击效应发现，当金融状况良好的时候能够很好的抑制通货膨胀，促进产出增加；当金融状况恶化的时候会加剧通货膨胀，抑制产出。

  最后本文利用所构建的金融状况指数与美国芝加哥银行公布的美国月度金融状况指数分析两国金融状况指数之间的关联性与异动性特征。通过研究发现：在短，长周期上我国FCI领先于美国NFCI的变动12个月左右，中周期上滞后于美国金融状况指数的变动17个月。但是从整体全周期上来看我国FCI与美国NFCI同步波动，互相影响。此外中国金融状况的发展对美国金融状况指数的影响呈现明显的周期变化，总体上正向影响大于负向影响，但是美国的金融状况对我国的金融状况的负向影响较大。

In the era of rapid economic development but the potential financial crisis persists, the development of the financial market is directly related to the quality of the country’s overall economic development. Foreign countries have successively studied the method of constructing the national financial status index, but my country has not yet formulated a unified financial status. The index construction system is therefore very important to the study of my country's financial status index. The main research contents of this article are as follows:

This paper first predicts my country’s monthly GDP data containing quarterly information through a mixed dynamic factor model, and then uses the predicted GDP data as a macroeconomic variable to construct financial indicators, and combines the five types of interest rates, exchange rates, asset prices, and money supply. The monthly data of the indicator extracts the common factors of financial variables through the dynamic factor model, and then determines its weight in the financial condition index through the impact of these common factors on inflation, and then obtains my country's monthly financial condition index.

Then through the periodic spectrum, the square coherence spectrum and the phase spectrum in the spectrum analysis, the periodical characteristics, correlation degree and time lag characteristics of the

financial condition index constructed in this paper and the macroeconomic variables GDP and CPI are analyzed. The results show that my country's financial condition index and macroeconomic variables have similar fluctuation cycles, with a period of roughly 40 months; at the same time, the financial condition index constructed in this article has a strong correlation with macroeconomic variables, and there is an increasing correlation in a long period. In addition, through phase spectrum analysis, it is found that there is a clear lead between the financial condition index constructed in this article and GDP and CPI, that is, the fluctuation of my country's financial condition index is ahead of the fluctuation of GDP and CPI, and the lead time is roughly 10 months. This not only verifies the validity of the financial condition index constructed in this article, but also shows that the financial condition index constructed in this article can be used as a leading indicator of the macro economy and can predict macroeconomic fluctuations to a certain extent.

In addition, through the analysis of Markov zoning system transfer, it is found that the financial condition index constructed in this paper has a clear threshold effect. Through the Markov zoning system transfer, the two regional systems of financial conditions can be well identified, namely, financial condition is good and financial Deteriorating conditions; using impulse response functions to study the impact of financial status indexes of different regions on the macroeconomic variables GDP and CPI, and found that when financial conditions are good, inflation can be well restrained and output growth can be promoted; when financial conditions are deteriorating At that time, inflation will be aggravated and output will be suppressed.

Finally, this paper uses the constructed financial condition index and the US monthly financial condition index published by the Bank of Chicago to analyze the correlation and change characteristics between the financial condition indexes of the two countries. Through research, it is found that my country's FCI is ahead of the US NFCI for about 12 months in the short and long periods, and it lags behind the US financial condition index by 17 months in the medium period. However, from the perspective of the whole cycle, the FCI of my country and the NFCI of the United States fluctuate synchronously and influence each other. In addition, the development of China's financial conditions has obvious cyclical changes in the impact of the US financial condition index, and the overall positive impact is greater than the negative impact, but the financial conditions of the United States have a greater negative impact on my country's financial conditions.

It can be seen that the FCI constructed in this article can be used as a leading indicator of my country's macroeconomic variables, and has a certain predictive effect on my country's macroeconomic fluctuations. At the same time, changes in the financial conditions of China and the United States in different cycles will have different effects on each other. In general, the degree of dependence on the financial conditions of China and the United States tends to be relatively balanced.