金融形势指数与货币政策——基于中国数据的实证研究

Financial Condition Index and Monetary Policy——an Empirical study of Chinese Data

本文采用VAR模型计算出反映月度中国货币及金融市场形势变化的金融形势指数FCI(financial condition index),该指数对通货膨胀有较好的预测能力,包含未来通货膨胀的信息。将FCI纳入麦克勒姆规则对中国货币政策进行检验,结果表明中央银行货币政策总体上遵循该规则,其主要调控目标是实际经济增长和通货膨胀,对资本市场价格变化反应不显著。整体看,中央银行货币政策对经济运行的调节力度不足,这在一定程度上助长了一定时期内我国经济过热和资产价格不稳定。

The paper uses VAR to estimate FCI (financial condition index) which reflects the condition of Chinese monetary and financial market. The empirical results show that FCI is a good predictor for inflation. Based on this analysis,FCI is introduced into McCallum Rule to test Chinese monetary policy. The results show that the central bank's policies are in accordance with the McCallum Rule,that the target that the policy focused is the economic growth and inflation,and that the policy reaction to the change in asset market is not significant. Totally,the central bank does not use enough strength to adjust the economic operation,which stimulates asset price bubbles and economic instability in some degree.