金融状况指数和货币政策中介目标  

Financial Conditions Index and Monetary Policy Intermediary Target

作　　者：王雪峰[1] 

机构地区：[1]江西财经大学经济学院,江西南昌330013

出　　处：《山西财经大学学报》2009年第11期95-101,共7页Journal of Shanxi University of Finance and Economics

摘　　要：以简化的总需求方程为基础,构建了旨在反映中国货币金融环境的金融状况指数(FCI),并对该指数和宏观经济目标的相关性及其预测能力进行了样本内和样本外的检验,发现该指数可以充当中国货币政策中介目标的辅助指标。The paper constructs a financial conditions index （FCI） for China to reflect the financial situation, based on reduced form aggregate demand function, and evaluates the FCI＇ s predictability and correlation with macroeconomic targets, which finds the FCI can serve as a auxiliary indicator of China＇ s monetary policy intermediary target, by testing its in - sample and out - of - sample performances. Compared with the existing researches, the paper has an improvement, which is transferring the fixed weights of the variables in FCI to the timevarying ones by constructing State Space Model and using the Kalman Filter algorithm, reveals the realities of the changing with time of the economic structure and financial institutions, and the dynamic states of China＇ s monetary and financial environment.

关 键 词：金融状况指数 状态空间模型 中介目标 辅助指标 

分 类 号：F832[经济管理—金融学]