基于新凯恩斯混合菲利普斯曲线的中国货币状况指数构建及其应用

The Construction of China's Monetary Conditions Index Based on New Keynesian Hybrid Phillips Curve and Its Usage

实证研究表明,我国的菲利普斯曲线是一条兼顾前瞻性和后顾性的新凯恩斯混合型菲利普斯曲线。有鉴于此,本文通过构建一个新凯恩混合斯菲利普斯曲线方程来估计中国MCI的权重。对这一新凯恩斯菲利普斯曲线方程的GMM估计结果表明,中国MCI三个要素(利率、汇率和货币供应量)的权重比例为1:9.8:35.1。分析显示我们构建的MCI指数走势很好地对应了中国通货膨胀的反向运动。进一步的计量和统计分析表明,我们构建的MCI指数不但可以作为中国货币政策的信息指示器,还是一个潜在的货币政策操作目标变量,但还不足以用作诸如BT型和Ball型等形式的货币政策规则。

The existing basic models to estimate the monetary conditions index(MCI) are backward-looking,ignoring the role of forward-looking expectations.A large number of empirical studies have shown that China's Phillips curve should be a New Keynesian Hybrid Phillips Curve including both forward-looking and backward-looking.For this reason,this paper builds a New Keynesian Hybrid Phillips Curve equation to estimate the weights of China's MCI.The GMM estimation results of the New Keynesian Phillips Curve equation show that the weight ratio of the three elements(interest rates,exchange rates and money supply) of China's MCI is 1:9.8:35.1.Analyses show that the trend of our MCI correlates well with the reverse movement of inflation in China.Further econometric and statistical analyses show that our MCI can be a potential variable of monetary policy operating target as well as information indicator of the monetary policy.