关键词: 中国金融状况指数, SVAR模型, 谱分析, 先行指标

Abstract: Firstly, in order to build the China’s Financial Conditions Index (CFCI) which can quantify the overall tightness condition of our country’s financial market, we select four financial variables which are Interest Rates, Exchange Rates, Stock Prices and Aggregate Financing to the Real Economy, and use SVAR model to determine the variables’ weight. Secondly, based on the built index, we introduce the Spectral analysis method to come over the subjective defects of the existing literatures’ empirical analysis, and find that the coupled oscillation cycle periods between CFCI and Macroeconomic Consistent Index, annulus CPI, year on year CPI respectively are all 39 months .During the oscillation cycle period, CFCI leads the three indicators by 1.91, 0.44 and 5.5 months successively. What is more, the values of consistent statistic corresponding are 0.94,0.97 and 0.96 separately, which are close to 1, indicating that CFCI plays an important guiding role and has strong relation with both Macroeconomic Consistent Index and inflation. Hence CFCI can be used as a leading indicator of other macroeconomic indicators.

Key words: China’s Financial Conditions Index, SVAR Model, Spectral Analysis