Constuction Research On Finanical Conditions Index System From The View Of Monetary Policy

Financial Conditions Index(FCI)—is a new reference index for monetary authorities to lay down and analyze the monetary policy which has an important value in the aspect of improving the effect of monetary policy, so there are many academics results about the FCI preparation and measure research themes now. However, there is no systematic research about the FCI in China and the existing results are only stay in the surface, in addition to Goldman sachs, there is no authority publish the FCI in China regularly. Under the background of the accelerating globalization and financial innovation, trying to adapt and lead China’s economy in the new normal, dissolving the economic risk which has the main characteristics of high leverage and bubble all has asked China to accelerate the pace of research and preparation of FCI.In view of no unifying and misunderstanding on translation and understanding of FCI by the current scholars, as well as no clear positioning on the function of the FCI, this article define the basic connotation of FCI at first and defined the FCI is a statistical indicators which can reflecte the implementation effect of monetary policy comprehensively. The basic function of FCI is to indicate the effect of monetary policy as a leading indicator and evaluate the the validity of monetary policy in a region in a certain period of time and predict the ultimate goal of monetary policy change trend at the same time. Overall, FCI has many functions such as reflecting the overall financial condition, forecasting the macroeconomic trends, evaluating the tightness of monetary policy, reflecting the effect of monetary policy as an indicator, and so on. It has the intrinsic characteristics of authority issued, revised timely and convenient application, and the external features of monetary, comprehensive and sensitivity. However, its disadvantages are also obviously, mainly reflected in the excessive reliance on model, no consider inter-temporal impact, parameter uncertainty and strong inner relation between variables.Next, this paper build the FCI system of three-dimensional architecture respectively from the frequency of high frequency, intermediate frequency and low frequency, three levels of wide, middle and narrow range, and combined with different empowerment method. Then, starting from a variety of transmission channels of monetary policy, The paper analyzing the theory elements sources of FCI system, building the theory model of wide FCI on the basis of western economic theory, which aim to determine the composition elements of the different dimensions of FCI. On this basis, combines the actual conditions of China’s statistical data, this article choose document acquisition method as basic data collection method by comparing the advantages and disadvantages of different data collection methods to collected many typical variable datas as the primary indicator of FCI from the interest rate, exchange rate and asset prices and non-financial indicators respectively. And then, calculating the gap value of primary index accroding to the characteristics of the index data itself, and set the the corresponding transformation of frequency, so as to providing data basis for synthesis of FCI.The FCI index size of preliminary selection is relatively larger which will cause information overlap and the difficulty of empowerment easily. Therefore, this paper use the combination screening methods by selecting the structure equation model to screen the index of FCI, and eliminating the indicator’s data structure is not consistently, reliability and stability with the reliability test and validity test, and then extracting the optimal amount of information by class component test method, to get the best index data structure, so as to synthesis the FCI with different amplitude and frequency.Further, this article classified the FCI international mainstream empowerment method into two kinds by summarizing and comparing the basic characteristics and application limitation, structural empowerment method and unstructural empowerment method, the former contains the principal component method, factor analysis method, kalman filtering method, the simplified model method and large macro econometric model, while the later contains the VAR model, SVAR model and VEC model method. Using all methods for empirical study of FCI empowerment except for large macro econometric model, we can synthesis 31 FCI value of different amplitude and frequency which constituted the FCI database in this paper.On this basis, this article judging whether the various index weight of the different FCI is coordination from the index of the internal structure of the coordination, testing whether different FCI has significant abnormal points from abnormal value principle, analysising whether there has the same characteristics between the ultimate goal of moneytary policy and FCI from a dynamic perspective. Under the above three aspects of statistical tests, we can have the comprehensive judgment whether the FCI can be used for economic analysis.On the condtion of the FCI has certain analysis value and can be used as the indicator function of monetary policy effect, this paper analyzes the dynamic correlation and Granger causality test results between FCI and CPI, the result found that the FCI is not enough to cause the changes of ultimate goal of monetary policy. So, this paper adopt in the standardized regression model to study relationship between FCI and CPI fluctuations, to verify whether the volatility of the FCI has significant effect on the changes in the CPI through the beta estimate. After get the certain conclusions, the paper analysis the cumulative impact on the CPI by FCI in different period of time by utilizing the method of impulse response function. On this basis, we can judging that which FCI has a good instruction on monetary policy effect, and which has worse. The emprical conclusion found that the high frequency middle amplitude FCI which is constituted based on the simplified model is most suitable for used as the indicator for our country’s monetary policy implementation effect.The FCI formulated by the different perspective can reflect the actual economic development comprehensively and systematically, and can be well tested in the process of empirical withstood, which means it can be used to indicate the current implementation effect of monetary policy. On this basis, the article puts forward some suggestions to strengthen the popularization and application of the FCI.