中国金融形势指数及其在货币政策中的检验  

Financial Conditions Index and Its Empirical Test on China's Monetary Policy

作　　者：刁节文[1] 章虎[1] 李木子[2] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]中央财经大学财政学院,北京100081

出　　处：《山西财经大学学报》2011年第7期49-56,共8页Journal of Shanxi University of Finance and Economics

基　　金：国家社科基金项目"基于金融形势指数的货币政策调控有效性研究"(10CJY075);上海市教委第五期重点学科建设项目(学科编号:J50504)

摘　　要：利用VAR模型构建金融形势指数FCI,通过实证分析发现其能够很好地预测通胀率。研究表明,FCI含有通胀的有用信息,中央银行在实施货币政策时,应当考虑其所含变量在货币政策中的信息作用。通过检验含有金融形势指数变量的货币政策反应函数,发现中央银行的利率政策对产出缺口和金融形势的松紧有准确反应,实际利率与通胀率负相关。同时指出,利率平滑行为不再显著是由金融危机爆发后货币当局对市场利率的管制造成的。The paper estimates Financial Conditions Index of China based VAR methodology.It shows FCI can make an effective forecast of inflation,which implies that FCI contain useful information about inflation and should be considered when the central bank implement monetary policy.Through the test of the monetary policy reaction function including the Financial Conditions Index,the authors find that the central bank＇s interest rate policy has an accurate response on the output gap and the tightness of the financial situation,and real interest rate whose smoothing behavior is no longer significant because of regularity has negative correlation to the inflation rate.

关 键 词：金融形势指数 VAR模型 货币政策反应函数 

分 类 号：F821.0[经济管理—财政学]