文章摘要
周德才,朱志亮,贾青.中国多机制门限金融状况指数编制及应用[J].数量经济技术经济研究,2018,(1):111-130
中国多机制门限金融状况指数编制及应用
Construction and Application of Chinese Multiple Regimes Threshold Financial Condition Index
  
DOI:
中文关键词: 金融状况指数  门限模型  资产价格  货币政策  经济增长
英文关键词: Financial Condition Index  MR-TVAR  Asset Prices  Monetary Policy  Economic Growth
基金项目:本文是2016年度江西高校人文社会科学研究一般项目(JJ161008)阶段性成果,还受到2017年度国家社会科学基金一般项目(17BTJ011)和2017年度江西省自然科学基金管理科学项目(20171BAA208015)资助。
作者单位
周德才 南昌大学经济管理学院 
朱志亮 南昌大学经济管理学院 
贾青 南昌大学经济管理学院 
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中文摘要:
      研究目标:实证编制及应用中国多机制门限金融状况指数(MR-TFCI)。研究方法:通过拓展构建了多机制门限向量自回归(MR-TVAR)模型和MR-TFCI的多机制门限编制公式,从经济增长(RG)目标出发,选取5个金融变量,测算四个机制的广义脉冲响应函数值,编制了中国MR-TFCI,并比较其与 2机制门限FCI(2R-TFCI)和1机制线性FCI(1R-FCI)的优劣。研究发现:与2R-TFCI和1R-FCI相比,MR-TFCI是RG更优的先行、相关性、因果性和预测指标;中国货币政策调控经济增长的效应和传导渠道具有门限特征;中国货币政策调控经济增长的方式类型是价格和数量结合型的。研究创新:构建了MR-TVAR模型和MR-FCI的多机制门限编制公式,编制了首个多机制门限金融状况指数。研究价值:为中国政府部门实施货币政策和实体经济进行投融资决策提供了科学决策依据。
英文摘要:
      Research Objectives:Compile and apply Chinese Multiple Regimes Threshold Financial Condition Index(MR-FCI).Research Methods:Construct Multiple Regimes Threshold Vector Autoregressive(MR-TVAR)by expanding and multiple regimes threshold formulas of MR-FCI,start from rate of economic growth(RG),select 5 financial variables,measure the generalized impulse response function values of for regimes,then measure empirically Chinese Multiple Regimes Threshold Financial Condition Index,and Compare its merits with the 2 regimes threshold FCI(2R-TFCI)and the 1 regime linear FCI(1R-FCI).Research Findings:Compared with the 2R-TFCI and 1R-TFCI,MR-TFCI is a better leading,correlation,causality and predictive indicator of RG;The transmission channels and effects that our country's monetary policy regulate and control economic growth have threshold characteristics;The type of China's monetary policy which regulate and control economic growth is price and quantity combination model. Research Innovations:Construct Multiple Regimes Threshold Vector Autoregressive(MR-TVAR)and multiple regimes threshold formulas of MR-FCI,and compile the first MR-FCI. Research Value:They provides scientific decision-making basis for China's government departments to implement the monetary policy and the real economy to make the investment and financing decision.
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