The Construction Research Of Chinese Multiple Regimes Threshold Financial Condition Index

Nowadays,because of the disintegration of the recovery process in the major economies of the world,the monetary policy is not unified,and China's finance and economy are gradually internationalizing,All these make the latest foreign monetary policy have a deeper nonlinear impact on China's finance and economy.At the same time,socialism with Chinese characteristics has entered a new era,and China's economy has shifted from high speed to high quality development stage,which will bring about a nonlinear transformation of China's finance and economy.In addition,financial marketization makes the uncertainty of the short-term financial market increase,which leads to our dependence on a single variable or index to analyze and judge the financial and economic situation,no longer accurate.Therefore,the traditional single equation 2 regimes nonlinear model has not been able to adapt to the complex situation of the current monetary policy in China,it is urgently needed to build a new multi mechanism threshold augmented model that can describe the various structural changes of the current financial situation in China,and build a new FCI on the basis of this model.In this paper,the Multiple Regimes Threshold Vector Autoregressive model(MR-TVAR)and Structure Factor Augmented Vector Autoregressive model(SFAVAR)are combined to build a Multiple Regimes Threshold Structure Factor Augmented Vector Autoregressive model(MR-T-SFAVAR),and based on this model,the method of calculating the Multiple Regimes Threshold Financial Condition Index(MR-TFCI)is developed.We respectively select 4 financial indicators(A total of 20 financial indicators)from money supply,interest rates,exchange rates,stocks and housing prices,then,extracting 5 structure factors.Finally,based on the MR-T-SFAVAR model,we construct MR-TFCI which is used to analyze and predict the effect of monetary policy,and comparing with the 2 Regime Threshold Financial Conditions Index(2R-TFCI)and linear Financial Conditions Index.MR-FCI which is constructed by MR-T-SFAVAR model has the characteristics of large amount of financial information and multiple regimes,which can better depict the current financial situation.The results are as follows: First,Compared with the 2R-TFCI and 1R-TFCI,MR-TFCI is a better leading,correlation and predictive indicator of RG;Second,The transmission channels and effects that our country's monetary policy regulate and control economic growth have threshold characteristics;Third,The type of China's monetary policy which regulate and control economic growth is price and quantity combination model,and asset price plays an important role.In general,MR-FCI which is constructed by MR-T-SFAVAR model can effectively reflect the dynamic situation of the complicated financial market in our country,and it can provide 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.