基于国内大宗商品价格的中国金融形势指数构建研究  

Function optimization study of Chinese financial conditions index(FCI):based on domestic commodity prices

作　　者：张楠[1] 许学军[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《科技与管理》2014年第6期116-121,共6页Science-Technology and Management

基　　金：上海市教委第五期重点学科建设项目(J50504)

摘　　要：为了检验国内大宗商品价格对我国金融形势指数（FCI）预测未来通胀能力的影响,并进而探索中国金融形势指数的构建问题,文章选取了2007年1月～2013年12月的相关数据,通过VAR广义脉冲响应的方法构建了3类不同结构的FCI,并运用多种方法实证检验了各类FCI对我国未来通胀趋势的预测能力.结果表明：3类FCI均可作为我国通胀的先行指标,包含未来通胀水平变化的有效信息,可预测未来6-8个月内的短期通胀趋势;采用综合一国货币供应量、利率、汇率、股价、房价、大宗商品价格等变量的FCI比现行两类FCI的预测效果更好一些.To explore the effects of domestic commodity prices on the ability of financial condition index （FCI） to predict the future inflation, and to further study the issue about the construction of Chinese FCI, this paper selects the relevant economic and financial data from January 2007 to December 2013, and then constructs three different structures of FCI based on the generalized impulse response of vector autoregressive regression （VAR） model, and empirically tests the ability of FCI to predict future inflation trend. Results show that the three kinds of structure of FCI can be seen as a leading indicator of inflation in China, which imply the effective information of future inflation and can predict the future inflation trends in 6 -8 months. Adopting the FCI with comprehensive variables inclu- ding a country＇ s money supply, interest rates, exchange rates, stock prices, house prices, the domestic commodity prices can do better than the other two FCIs which do not contain the domestic commodity prices.

关 键 词：金融形势指数(FCI) 国内大宗商品价格 通货膨胀预测 

分 类 号：F832[经济管理—金融学]