南昌大学社会科学学术报告

南昌大学百年校庆系列学术报告

红色筑基·名家讲坛

报告题目：A Multi-Regimes Threshold Financial Conditions Index for China Based on Mixed-frequency Loss Function

时 间：11月 10日（周二）晚上19：00-20:10

地 点：智华经管楼340室

报 告 人：陈嘉辉

主持人和点评人：周德才

主办单位：经济管理学院

报告人简介：南昌大学经济管理学院硕士研究生，主要研究金融风险的测度，系统性风险。

[内容简介]In this paper, we measure China’s Mixed-frequency Loss Function (MLF) which is extracted from quarterly output gap and monthly inflation gap by mixed-frequency DFM, reflecting the fact that China's monetary policy has dual ultimate targets. A new Multi-Regimes Structural Factor-Augmented Threshold VAR (MR-SFA-TVAR) model, which can contain more information and variables and can estimate more accurately by taking all the variables (not predetermined) in it as candidate threshold variable, is created. We use the MR-SFA-TVAR model to construct a new Multi-Regimes Threshold Financial Conditions Index (MR-TFCI) for China basing on our MLF. The MR-TFCI not only can indicate that the monetary policy transmission mechanism changes significantly under different regimes, but also can accurately track expectations on output and inflation. The empirical results show that China’s MR-TFCI is a better indicator with superior leading ability, correlativity, causality and predictability for output and inflation than 2-Regimes TFCI and 1-Regime FCI