本文旨在建構臺灣的中長期金融情勢指數（Medium-and Long-Run Financial Conditions Index, MLR-FCI），並評估其對總體經濟變數的預測能力。我們結合頻率域投影方法與兩階段動態因子模型，先過濾短期雜訊，僅保留中長期趨勢成分，再萃取共同因子建構 MLR-FCI。實證結果顯示 MLR-FCI 的走勢更為平滑，能清楚捕捉金融環境的結構性趨勢，且具備預測總體經濟變數的領先能力。在樣本外預測中，MLR-FCI 對持續性較高的經濟變數展現出優勢；分量迴歸結果則顯示在中長期下，FCI 係數在不同分量間出現符號翻轉，反映景氣循環先緊縮後反彈的規律。整體而言，本文所建構的中長期金融情勢指數，能為政策制定者在判斷金融環境的走向時提供具前瞻性的參考依據。

This paper aims to construct a Medium-and-Long Run Financial Conditions Index (MLR-FCI) for Taiwan and evaluate its forecasting performance for macroeconomic variables. We combine frequency domain projection methods with a two-stage dynamic factor model to first eliminate short-term noise and retain medium-and-long run trends before extracting common factors. The empirical results indicate that the MLR-FCI yields a smoother path that more clearly captures structural trends in financial conditions, and demonstrates leading predictive ability for macroeconomic variables. In out-of-sample forecasting, it shows a comparative advantage for variables with higher persistence. Quantile regression reveals sign reversals across quantiles in the medium-and-long run, reflecting the pattern of economic cycles first contracting and then rebounding. Overall, the MLR-FCI can serve as a forward-looking reference for policymakers when evaluating financial conditions.

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