%0 Journal Article
%T 金融状况指数的动态特征及其有效性研究<br>Research on the Dynamic Characteristics and Effectiveness of the Financial Conditions Index
%A 李正辉
%A 郑玉航
%J 财经理论与实践
%D 2015
%X 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。<br>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 parameters 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 asymmetric characteristics, which leads to continuous change of its effectiveness. Besides, the effectiveness of financial operation is fluctuated between 0.3 and 0.4, and the effectiveness of the overall financial condition influences real economy development presents enhanced situation.
%K 金融状况指数 动态特征 变参数状态空间模型 有效性&lt
%K br&gt
%K Financial Condition Index Dynamic characteristics State Space Model with varying parameters Effectiveness
%U http://hdxbcjb.cnjournals.net/ch/reader/view_abstract.aspx?file_no=20150407&flag=1