关键词: 多维度FCI,组合赋权,货币政策,指数构建

Abstract: Accelerating the study of the construction and application of the Financial Conditions Indexes (FCI) is an important subject to curb economic risks, propel structural reforms, and promote economic recovery. Based on the basic definition and functional positioning of FCI, this paper constructs a multi-dimensional FCI system from three dimensions of frequencies, ranges, and empowerment methods.?Through an empirical comparison it can be found that there exist great differences among the selected indexes and weights of FCI at different dimensions, that the composition of FCI should focus on financial variables, but some non-financial indicators can also be considered, and that 35.484% of FCI shows the features of good internal structural coordination, while 41.935% and 22.531% of FCI shows the features of general or poor internal structural coordination, but all of them have passed the abnormal value test and the dynamic test. The high frequency medium range FCI based on factor analysis can serve the best reference to predict the effect of the implementation of the current monetary policy.

Key words: multi-dimensional FCI; combination empowerment; monetary policy; index building