货币政策的指示器——FCI的实证检验和比较

An Empirical Study and the Comparison of Financial Condition Index as an Indicator of Monetary Policy

本文分别用两种VAR模型构建了包含实际房价缺口、实际利率缺口、实际汇率缺口和实际股价缺口在内的我国金融状况指数FCI,并且以次贷危机为基准划分两个子样本进行FCI的构成比较。通过比较,本文发现我国的房地产价格和股票价格对通货膨胀的影响已经大大增强,在次贷危机之前房价的影响更大,而次贷危机之后股价的影响更大。同时,我国金融状况指数对于通货膨胀CPI具有先导作用,且能够更好地预示宏观经济和金融的走势,将为宏观经济政策制定提供更有效的指示器和参考指标。然而,FCI中各变量的权重具有很强的数据依赖性,这是其充当我国货币政策指示器的最大阻碍之一,运用时变系数模型构建FCI是今后研究的重要方向。

By two different VAR models, this paper constructs two FCIs in terms of real housing price gap, real interest rate gap, real exchange rate gap and real stock price gap by the monthly data between July, 2005 and Dec. ,2011. It indicates that the leading effect of the two FCIs on irfflation and FCI could forecast the trend of macroeconomic variables. Also, we find that the effects of housing price and stock price on CPI become more and more important in recent years, and housing price has a higher weight before the financial crisis whereas stock price shows a higher weight after the crisis. However, because the weights of variables in FCI show strong data dependent, it has not been an excellent indicator of monetary policy so far. Our further research will be on using time-varving coefficient models to construct FCI in order to overcome it.