统计与数据科学学院知识库

我国金融市场在快速发展和深刻变革的过程中，已逐渐融入宏观经济体系，且在经济波动和政策传导中的作用愈加重要。在这一背景下，构建能够实时监测金融状况并反映其对宏观经济影响的工具，对于实现宏观经济调控具有重要意义。金融状况的变化不仅影响着货币政策和财政政策的实施效果，也能影响经济增长、通货膨胀等关键宏观经济变量。因此，研究中国动态金融状况指数（China Dynamic Financial Conditions Index，简称CDFCI）及其对宏观经济的影响，不仅有助于深入理解中国金融市场的运作机制，还为政策制定者提供了及时的决策支持。本文基于中国金融市场的特点和需求，构建了动态金融状况指数，并探讨其对宏观经济变量的动态影响，为推动经济高质量发展和金融市场稳定提供了理论支持。

本文基于中国金融市场的特点，提出了中国动态金融状况指数（CDFCI）。为全面衡量金融市场的运行状况，本文从货币市场、房地产市场、股票市场、汇率及利率等五大维度提取了相关的关键因子，使用多层因子模型进行综合分析，这一方法能够有效反映金融市场的动态变化。在构建CDFCI的过程中，特别加入了绿色股票这一新兴金融变量，与传统金融市场的变量共同分析，从而进一步提高了指数的综合性和前瞻性，为绿色金融的发展和传统金融市场的结合提供了新的视角。为了弥补传统金融状况分析中基于季度GDP数据的局限性，本文采用了混频动态因子模型，不仅能更准确地捕捉到金融市场的高频变化，还能基于此测度月度GDP数据，从而为高频率的经济分析提供有力支持。在具体的分析方法上，本文采用了潜在阈值时间变参数因子模型（LT-TVP-FAVAR）和谱分析方法，对中国动态金融状况指数（CDFCI）与宏观经济变量（如GDP增长率、CPI通货膨胀率等）之间的动态关系进行了深入剖析，揭示了金融状况指数对宏观经济变量的传导路径及其在不同经济阶段的表现特征。

研究结果表明，构建的中国动态金融状况指数（CDFCI）能够有效反映中国金融市场的整体健康状况，并与宏观经济关键指标，如GDP和CPI，之间存在显著的互动关系。具体来说，CDFCI对GDP具有显著的短期正向作用，且在长期内展现出较强的波动性和累积效应。金融状况对CPI的影响则更加间接，具有滞后性和周期性特征。此外，特别是在金融危机、疫情等重大事件期间，金融状况的波动对宏观经济的影响尤为显著，表明金融市场的波动性对宏观经济的冲击具有高敏感性。

基于研究结果，本文提出了以下政策建议：首先，政府应加强对金融市场的监测，尤其是在重大经济事件期间，及时调整货币政策和财政政策，以缓解金融市场波动对经济的负面影响。其次，金融监管部门应更加注重金融市场流动性、资本市场波动等因素，提升金融系统的稳定性。最后，政策制定者应加强绿色金融政策的支持，鼓励绿色金融产品的发展，探索绿色金融与传统金融的协同作用，为金融市场健康发展和可持续经济增长提供更多保障。

As China’s financial market rapidly develops and transforms, it has become increasingly integrated into the macroeconomic system, playing a vital role in economic fluctuations and policy transmission. In this context, tools that monitor financial conditions in real-time and assess their impact on the macroeconomy are crucial for effective regulation. Changes in financial conditions influence monetary and fiscal policy effectiveness as well as key macroeconomic variables like growth and inflation. Therefore, studying the China Dynamic Financial Conditions Index (CDFCI) and its macroeconomic impact helps deepen the understanding of China’s financial market while providing timely support for policymaking. This paper constructs the dynamic financial conditions index, exploring its effects on macroeconomic variables to support high-quality economic development and financial stability.

This paper proposes the China Dynamic Financial Conditions Index (CDFCI) based on the characteristics of China's financial market. To comprehensively measure the financial market's operation, key factors were extracted from five major dimensions: the money market, real estate market, stock market, exchange rates, and interest rates, using a multi-factor model for integrated analysis. This method effectively reflects the dynamic changes in the financial market. In constructing the CDFCI, an emerging financial variable, green stocks, was particularly incorporated, and analyzed alongside traditional financial market variables, thus enhancing the comprehensiveness and forward-looking nature of the index, offering a new perspective on the integration of green finance and traditional financial markets. To overcome the limitations of traditional financial condition analysis based on quarterly GDP data, the paper employs a mixed-frequency dynamic factor model. This model can not only more accurately capture high-frequency changes in the financial market but also construct monthly GDP data, providing strong support for high-frequency economic analysis. For the specific analytical methods, this paper adopts the Latent Threshold Time-Varying Parameter Factor Model (LT-TVP-FAVAR) and spectral analysis to conduct an in-depth analysis of the dynamic relationship between the CDFCI and macroeconomic variables such as GDP growth rate and CPI inflation, revealing the transmission path of the financial conditions index to macroeconomic variables and its performance characteristics at different economic stages.

The research results indicate that the constructed China Dynamic Financial Conditions Index (CDFCI) effectively reflects the overall health of China's financial market and shows a significant interaction with key macroeconomic indicators such as GDP and CPI. Specifically, the CDFCI has a significant positive short-term effect on GDP and exhibits strong volatility and cumulative effects in the long term. The impact of financial conditions on CPI is more indirect, exhibiting delayed and cyclical characteristics. Furthermore, during major events such as financial crises and pandemics, the fluctuations in financial conditions have a more significant impact on the macroeconomy, suggesting that the volatility of the financial market has a highly sensitive impact on macroeconomic shocks.

Based on the research results, the paper proposes the following policy recommendations: First, the government should strengthen monitoring of financial markets, particularly during major economic events, and adjust monetary and fiscal policies in a timely manner to mitigate the negative effects of financial market fluctuations on the economy. Second, financial regulatory authorities should pay more attention to factors such as financial market liquidity and capital market volatility to enhance the stability of the financial system. Finally, policymakers should strengthen support for green finance policies, encourage the development of green financial products, and explore the synergistic effect of green finance and traditional finance to provide more safeguards for the healthy development of financial markets and sustainable economic growth.