财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2015年
4期
39~44
,共null页
金融状况指数 动态特征 变参数状态空间模型 有效性
金融狀況指數 動態特徵 變參數狀態空間模型 有效性
금융상황지수 동태특정 변삼수상태공간모형 유효성
Financial Condition Index; Dynamic characteristics; State Space Model with varying parameters; Effectiveness
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。
運用三區製馬爾科伕轉換模型,攷量中國金融狀況指數（FCI）的動態變化特徵,併採用變參數狀態空間模型,研究金融運行對實體經濟髮展的有效作用程度。結果髮現：中國金融狀況具有敏感的區製轉換特徵以及明顯的非對稱性特徵,從而導緻瞭其有效性不斷變化;金融運行的有效作用程度在0.3-0.4之間波動,整體上對實體經濟髮展的有效性呈現增彊態勢。
운용삼구제마이과부전환모형,고량중국금융상황지수（FCI）적동태변화특정,병채용변삼수상태공간모형,연구금융운행대실체경제발전적유효작용정도。결과발현：중국금융상황구유민감적구제전환특정이급명현적비대칭성특정,종이도치료기유효성불단변화;금융운행적유효작용정도재0.3-0.4지간파동,정체상대실체경제발전적유효성정현증강태세。
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 0.3and 0.4,and the effectiveness of the overall financial condition influences real economy development presents enhanced situation.
