新凯恩斯菲利普斯曲线框架下的中国动态金融状况指数

Dynamic Financial Conditions Index in China under the Framework of the New-Keynesian Phillips Curve

鉴于当前金融状况指数变量权重系数缺乏动态性,文章采用递归广义脉冲响应函数方法构建了中国动态金融状况指数。研究发现,动态指数对未来一个季度的产出和通胀水平都具有较好的预测能力,且更适用于预测未来通胀。在此基础上,文章将动态指数作为衡量金融市场的变量纳入新凯恩斯混合菲利普斯曲线模型中,运用GMM方法进行估计,结果表明动态指数对当期和未来一个季度的通胀具有显著的正向效应。因此,有必要将金融状况指数作为一个金融市场变量纳入菲利普斯曲线框架下,以分析金融市场对通胀的影响。

Given a lack of dynamic weight coefficient of current financial conditions index variable, this paper employs the approach of recursive generalized impulse response function to construct dynamic financial conditions index in China. The results show the dynamic index provides a good predication for next quarter＇s output and inflation levels and is more suitable for forecasting future inflation. Then it takes the dynamic index as a variable of financial market and introduces it into the model of the new-Keynesian Phillips curve. Based on GMM model, it arrives at a conclusion that the dynamic index has significant effects on current and next quarter＇s inflation. Therefore, it is necessary to introduce dynamic financial conditions index taken as a financial market variable into the framework of Phillips curve in order to analyze the impact of financial market on inflation.