中文摘要：

本文首先选取我国多个金融变量，利用动态因子模型提取其共同因子，并对这些因子基于总需求方程缩减式构建了我国金融状况指数（FCI）。接着，基于互谱分析，从频域角度测度了FCI与产出和价格的关联性。最后，以FCI作为转移变量，建立了包含FCI、产出和价格的因子扩展的logistic平滑转移向量自回归（FALSTVAR）模型，基于不同金融状况视角，分析了金融状况指数代表的金融市场对产出和价格影响的非对称性。实证结果表明：第一，金融状况指数不仅与宏观经济具有相同的主周期，而且领先于产出和价格的变动；第二，在金融市场运行良好情形下，金融市场发展能有效地促进实体经济的增长，而在金融市场状况恶化情形下，金融市场会严重阻碍实体经济的增长。

英文摘要：

Based on more extensive financial variables selected from Chinese macro economy, this paper em- ploys dynamic factor model to extract their common factors which are used to construct China＇ s financial condi- tions index （FCI） with the support of the reduced aggregate demand equation. Then, using Cross- spectrum Analysis, the correlation between China＇ s FCI and output and price are tested from the prospective of frequency domain and time domain, respectively. After that, FCI is taken as transfer variable to build the factor - extend- ed logistic smooth transfer vector auto - regression （FALSTVAR） in which FCI, output and price are con- tained, and then using FALSTVAR model, this paper analyzes whether financial market reflected by the FCI has an asymmetric impact on the output and the price in different financial conditions. The empirical results show that： first, FCI not only shares the same main cycle with macro economy, but changes ahead of output and price; second, When in a good financial condition, financial markets have a significantly positive contribution to the output,- while in a deteriorating financial condition, financial markets have an apparently negative or harmful effect on output, so as to hinder the growth of the real economy.