金融状况指数预测通胀趋势的机理与实证——基于中国1999—2011年月度数据的分析  

Mechanism and Empirical Analysis of Inflation Trends Forecasting by Financial Conditions Index——Based on China's Monthly Data from 1999 to 2011

作　　者：封思贤[1] 蒋伏心[1] 谢启超[1] 张文正[1] 

机构地区：[1]南京师范大学商学院,江苏南京210046

出　　处：《中国工业经济》2012年第4期18-30,共13页China Industrial Economics

基　　金：国家社会科学基金项目"我国管理通胀预期与灵活审慎的货币政策研究"(批准号10CJY064);国家社会科学基金项目"金融开放背景下中央银行的货币量调节机制研究"(批准号10CJY077);教育部人文社会科学基金项目"转型期我国货币政策传导的区域异质性研究"(批准号09YJC790152)

摘　　要：在构建并阐释金融状况指数(FCI)预测通胀机理的基础上,本文通过广义脉冲响应函数测算了我国的FCI,并实证分析了FCI对我国通胀未来趋势的预测能力。结果表明:在分析金融变量对通胀水平的影响效果和预测通胀趋势方面,采用综合反映一国货币供应量、利率、汇率、股价等金融变量的FCI比采用单一的金融变量更合理、更全面;FCI是我国通胀的先行指标,包含未来通胀水平变化的有用信息,可以有效预测未来6个月内的通胀运行趋势。我国应尽快指定相关部门编制FCI,并通过定期公布FCI来实施宏观经济监测、货币政策调整和通胀预期管理。Based on an establishment and explantion for the mechanism of FCI＇s（Financial Conditions Index＇s） ability to predict inflation,this paper gives a design of Chinese FCI by using the method of generalized impulse-response functions（GIRF） and puts out an empirical analysis about FCI＇s ability to forecast inflation trends in China.The rusults show that FCI is more reasonable and more comprehensive than any single financial variable when forecasting inflation trends and analysing financial variables＇ influence on infaltion.FCI is the antecedent indicator of inflation.FCI contains useful information for future inflation levels.FCI can effectively predict the trends of inflation in the next six months.Chinese government should appoint relevant departments to compile FCI as soon as possible.FCI should be published periodically in order to monitor macroeconomy,adjust monetary policy and manage inflation expectations.

关 键 词：金融状况指数 通胀预测 传导渠道 广义脉冲响应 

分 类 号：F124.1[经济管理—世界经济]