货币政策与金融形势指数FCI:基于VAR的实证分析

Monetary Policy and Financial Conditions Indices:a VAR Analysis

为了探索资产价格在货币政策中的信息功能,经济学者们构造了金融形势指数FCI以反映未来产出与通货膨胀率的变化。常规的FCI指数包括真实短期利率、真实房地产价格指数、真实有效汇率指数和真实股权价格指数。鉴于中国货币政策的实践,本文拓展了FCI指数的概念,考察了加入真实货币供应量的FCI指数在中国货币政策传导中的信息角色。基于VAR模型的实证研究表明:FCI指数可以成为中国货币政策的重要参照系;包含真实货币供应量的FCI指数对CPI通胀率具有更好的预测力。

In order to explore the information role played by asset prices in monetary policy, economists build Financial situation Indices to reflect the future output and inflation. Traditionally, FCI combines the movement of the short-term real interest, the real effective exchange rate, real house prices and real equity prices. In view of the monetary policy practices of People＇s Bank of China, this paper extends the concept by adding monetary aggregate into FCI and analyzes its information contents. The evidence from VAR model shows that FCI could be an important indicator of China＇s monetary policy and the FCI including monetary aggregate is better than that excluding monetary aggregate in forecasting the future consumer price inflation.