Study On The Construction Of Financial Condition Index And Prediction Effect In China

In order to construct China's financial status index and study its effect on macroeconomic forecast,this article collects monthly data from January 2006 to December 2017,including the 7-day inter-bank borrowing rate,real effective exchange rate,national housing prosperity index,The six financial variables of the Shanghai Composite Index,the money supply,and the loan balance,using the improved factor analysis method,constructed the China's financial status index.By compiling the FCI index system and studying the effect of FCI on inflation and economic growth,the following conclusions have been obtained:(1)The weight distribution of each variable is relatively uniform.The difference between the weights of each variable is not very large.The greatest impact on China's FCI is the interest rate,with a weight of 0.193,and the lowest weight is the exchange rate,with a coefficient of-0.145.(b)FCI can predict the future inflation rate in the medium and long term.The correlation coefficient between FCI and inflation established in this paper is the largest at the lag of 9 and 10 periods,which is 0.65;the impulse response of inflation rate to FCI reaches the maximum at 9 and 10 periods,which is 0.52;and FCI is the inflation rate.Granger reasons.(c)FCI can forecast future economic growth in the medium and long term.When the FCI lags 10 periods,the correlation coefficient with the inflation rate is the largest,which is 0.37;the impulse response of the inflation rate to the FCI is lagging behind at the sixth stage and is 0.5,but the cumulative impulse response is small;and the FCI is the economic growth Granger the reason.FCI's forecast of economic growth is not as effective as inflation.(4)The FCI prediction effect is better than the traditional factor analysis.Compared with the FCI(Xu Dilong,2014)compiled by the traditional factor analysis method,this article has a larger inter-period correlation coefficient with inflation,and has a better prediction effect and reference value.Based on the above research,the following suggestions are proposed:(1)When constructing China's FCI,the factor molecular model L can be used,and FCI can be prepared and published on a regular basis;(2)Deepening interest rate marketization reform and improving the Shanghai interbank lending rate quote trading mechanism.Improve and improve the various interest rates and bond interest rates,and promote the construction of financial markets;(3)Accelerate the reform of the exchange rate market,expand the floating range of the RMB exchange rate,and simultaneously realize the free exchange of RMB;(iv)Perfect the real estate and stock markets,pay close attention to our real estate And stock market price index,to assist the implementation of China's monetary policy.