统计与数据科学学院知识库

随着全球金融市场演变和产业数字化快速发展，中国经济增长面临挑战。核心通胀韧性与金融脆弱性并存，造成了重大困境。同时，外部风险不断累积，国际金融市场不确定性在逐渐放大。当前，全球经济仍处于复苏阶段，地缘政治局势持续紧张，银行业和非银行金融机构脆弱性加剧，这使得国际金融市场普遍存在的不确定性长期存在，需要对其稳定性进行紧急评估。以往金融危机的经验教训凸显了金融稳定对于金融市场健康发展的重要性，这也凸显了央行必须具备识别和衡量金融稳定风险的能力。以此来加强和提升现代金融监管，健全金融稳定保障体系，善于识别和防范系统性金融风险。因此，寻找衡量金融发展的指标、构建中国金融状况指数（FCI）以及动态特征分析是防范中国经济金融风险的关键步骤。可以把金融状况指数置于货币政策框架中，将金融发展的态势与货币政策的制定执行相互联系，有利于央行在宏观层面提高调控质效，并理顺货币政策传导机制。

本文首先从利率、汇率、股票价格、房屋价格和货币供应量这五大类金融指标入手，利用动态因子模型进行深入研究，从中提取出关键的共同因子。随后，基于这些共同因子，我们构建了一个时变参数向量自回归模型（TVP-VAR）模型，以便更精准地分析金融市场的动态变化，同时引入动态参数估计确定各因子的动态权重，构建了中国动态金融状况指数（FCI）。最后，针对所构建的动态FCI，基于小波分解和谱分析研究了动态FCI与CPI、GDP在短期、中期、长期和全周期分量上的联动特征，基于马尔可夫区制转换模型对动态FCI与CPI、FCI与GDP进行脉冲响应分析，以便客观地探究金融状况对产出价格的冲击效应。

根据实证研究本文得到结论如下：第一，动态金融状况指数可以在短期内作为对CPI及GDP的预测指标。本文构建的动态金融状况指数和CPI及GDP之间具有较为显著的Granger因果关系。第二，针对通胀率较低，经济长期处于低通胀格局，以及物价将持续低位运行时期，应该即时出台以及调整相关的货币政策，以此来拓宽和畅通资产价格渠道。具体而言，就是通过以不断提升资产价格的托宾Q值及财富效应，这一过程旨在提高消费者的消费信心，提振市场主体活力的同时，也提高投资者的投资信心，进而有效及时以真金白银来推动实体经济行稳致远。同时，我们还需继续一进步不断深化汇率的经济市场化改革，不断降低人民币以及数字人民币在国内大循环国外双循环市场上的价格差异，以此来确保货币政策的传导更为顺畅。而当面对高通胀较高，价格和工资的普遍上涨时期时，我们需采取两种策略。首先，应将FCI的相应指标纳入货币政策的监测范围，作为辅助指标来更好地把握通货膨胀的动态。其次，我们必须高度关注货币供应量及汇率对通货膨胀的潜在推动作用，通过合理引导资金流向，防止过度通胀对经济的冲击。通过这些措施，我们期望能够有效应对不同通胀环境下的挑战，保持经济的平稳运行。第三，本文结合相关经验数据构建了动态金融状况指数，通过小波分解和频域分析发现CPI、GDP和金融状况指数FCI之间存在比较好的相关关系，且金融状况指数是CPI、GDP的格兰杰原因。说明对于我国经济活动，金融状况指数可以成为一种比较有效的先导性指标，金融状况指数可以对我国制定货币政策有相当大的参考性。

该指数应成为货币政策调整通胀的“参考风向标”，并作为观察中国宏观经济动态的“晴雨表预警”机制。我们需要全方位监控金融市场体系及其相关变量的变动，推动利率市场化改革，并在必要时采取迅速而有效的干预措施。不断加强监管、优化商业环境、支持新兴产业发展、以及推动创新驱动的实体经济转型升级，这些都是至关重要的步骤。这些措施将促进资本回流到实体经济中，为利率市场化改革提供更加有利的环境。同时，我们还需积极推动金融发展与经济增长目标的协调对接。这种策略性的合作旨在实现经济金融领域的短期稳定与长期的可持续发展。

With the evolution of global financial markets and the rapid development of industrial digitalization, China's economic growth is facing challenges. The coexistence of core inflation resilience and financial fragility has caused major difficulties. At the same time, external risks continue to accumulate, and the uncertainty of the international financial market is gradually expanding. At present, the global economy is still in the recovery stage, the geopolitical situation continues to be tense, and the vulnerability of the banking industry and non bank financial institutions has increased, which makes the uncertainty prevailing in the international financial market exist for a long time and requires an urgent assessment of its stability. The experience and lessons of previous financial crises highlight the importance of financial stability for the healthy development of financial markets, which also highlights that the central bank must have the ability to identify and measure financial stability risks. In order to strengthen and improve modern financial supervision, improve the financial stability guarantee system, and be good at identifying and preventing systemic financial risks. Therefore, the key steps to guard against China's economic and financial risks are to find indicators to measure financial development, construct China's Financial Condition Index (FCI) and analyze dynamic characteristics. The financial condition index can be placed in the monetary policy framework, and the financial development trend can be linked with the formulation and implementation of monetary policy, which is conducive to the central bank to improve the quality and efficiency of regulation at the macro level and rationalize the transmission mechanism of monetary policy.

This paper starts with five major financial indicators, namely interest rate, exchange rate, stock price, housing price and money supply, and uses dynamic factor model to conduct in-depth research, from which key common factors are extracted. Then, based on these common factors, we built a time-varying parameter vector autoregression model (TVP-VAR) to more accurately analyze the dynamic changes of the financial market. At the same time, we introduced dynamic parameter estimation to determine the dynamic weight of each factor, and built China's dynamic financial condition index (FCI). Finally, for the dynamic FCI constructed, based on wavelet decomposition and spectral analysis, this paper studies the linkage characteristics of dynamic FCI and CPI, GDP in the short, medium, long and full cycle components. Based on the Markov regime transformation model, this paper conducts impulse response analysis of dynamic FCI and CPI, FCI and GDP, in order to objectively explore the impact of financial conditions on output prices.

According to the empirical research, the conclusions of this paper are as follows: First, the dynamic financial condition index can be used as a short-term predictor of CPI and GDP. The dynamic financial condition index constructed in this paper has a relatively significant Granger causality with CPI and GDP. Second, in view of the low inflation rate, the long-term low inflation pattern of the economy, and the continuous low price operation period, we should immediately introduce and adjust relevant monetary policies to broaden and smooth the channel of asset prices. Specifically, by continuously improving the Tobin Q value of asset prices and wealth effect, this process aims to improve consumer confidence, boost the vitality of market players, and at the same time improve the investment confidence of investors, so as to effectively and timely promote the stability of the real economy with real gold and silver. At the same time, we need to continue to make progress and deepen the economic marketization reform of the exchange rate, and constantly reduce the price difference of RMB and digital RMB in the domestic big circulation and foreign double circulation markets, so as to ensure a more smooth transmission of monetary policy. When facing high high inflation,PriceandWagesWe need to adopt two strategies during the general rising period of. First of all, the corresponding indicators of FCI should be included in the monitoring scope of monetary policy as auxiliary indicators to better grasp the dynamics of inflation. Secondly, we must pay close attention to the potential role of money supply and exchange rate in promoting inflation, and prevent the impact of excessive inflation on the economy by reasonably guiding the flow of funds. Through these measures, we expect to be able to effectively respond to the challenges under different inflationary environments and maintain the stable operation of the economy. Thirdly, this paper constructs a dynamic financial condition index based on relevant empirical data. Through wavelet decomposition and frequency domain analysis, it is found that there is a good correlation between CPI, GDP and financial condition index FCI, and the financial condition index is the Granger cause of CPI and GDP. It shows that the financial condition index can be a more effective leading indicator for China's economic activities, and it can be a great reference for China to formulate monetary policy.

The index should become a "reference wind vane" for monetary policy to adjust inflation and serve as a "barometer warning" mechanism to observe China's macroeconomic dynamics. We need to monitor all aspects of the financial market system and its related variables, promote interest rate marketization reform, and take rapid and effective intervention measures when necessary. Strengthening regulation, optimizing the business environment, supporting the development of new industries, and promoting innovation-driven transformation and upgrading of the real economy are all critical steps. These measures will facilitate the return of capital to the real economy and provide a more conducive environment for interest rate market reform. At the same time, we also need to actively promote the coordination of financial development and economic growth objectives. Such strategic cooperation is aimed at achieving short-term stability and long-term sustainable development in the economic and financial spheres.