基于FCI将我国货币政策纳入麦卡勒姆规则的实证研究  

An Empirical Research of Incorporating China’s Monetary Policy into the McCallum Rule based on Financial Condition Index

作　　者：刁节文[1] 魏星辉[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海金融》2013年第7期47-53,117,共7页Shanghai Finance

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"(项目编号:10CJY075);上海市教委第五期重点学科建设项目(学科编号:J50504)资助

摘　　要：本文基于VAR模型和主成分分析两种方法分别构建了包含短期利率、汇率、房地产价格、股票价格、货币供应量等变量的两个金融形势指数(FCI)模型,用我国经济数据对两种模型进行实证检验。研究结果表明:基于VAR模型的金融形势指数FCI1与CPI走势有更好的契合,能更准确地反映了通货膨胀的变化趋势;而基于主成分分析的金融形势指数FCI2则在对一年以上的通货膨胀的预测上有更好的表现。最后将FCI纳入到麦卡勒姆规则中进行检验,结果表明货币政策对资产价格变化的反应不足。Based on VAR model and principal component analysis model,the article constructs two Financial Condition Index (FCI) models respectively,which include short-term interest rates,exchange rates,real estate prices,stock prices,money supply and other variables,and uses China’s economic data to conduct empirical test on the two models.The results show that: the FCI1 based on VAR model has a better fit in CPI trend,and can more accurately reflect the inflation trend; while the FCI2 based on principal component analysis has better performance in forecast ing the inflation in more than 1 year.Finally,the article incorporates FCI into McCallum rule to conduct a test,and the result shows that monetary policy has inadequate response to asset price changes.

关 键 词：金融形势指数(FCI) VAR脉冲响应函数 麦卡勒姆规则 

分 类 号：F821[经济管理—财政学]