中国金融形势指数及其在货币政策中的检验

Financial Conditions Index and Its Empirical Test on China's Monetary Policy

利用VAR模型构建金融形势指数FCI,通过实证分析发现其能够很好地预测通胀率。研究表明,FCI含有通胀的有用信息,中央银行在实施货币政策时,应当考虑其所含变量在货币政策中的信息作用。通过检验含有金融形势指数变量的货币政策反应函数,发现中央银行的利率政策对产出缺口和金融形势的松紧有准确反应,实际利率与通胀率负相关。同时指出,利率平滑行为不再显著是由金融危机爆发后货币当局对市场利率的管制造成的。

The paper estimates Financial Conditions Index of China based VAR methodology.It shows FCI can make an effective forecast of inflation,which implies that FCI contain useful information about inflation and should be considered when the central bank implement monetary policy.Through the test of the monetary policy reaction function including the Financial Conditions Index,the authors find that the central bank＇s interest rate policy has an accurate response on the output gap and the tightness of the financial situation,and real interest rate whose smoothing behavior is no longer significant because of regularity has negative correlation to the inflation rate.