金融形势指数与货币政策反应函数在中国的实证检验

Financial Condition Index and Monetary Policy Reaction Function’s Empirical Test in China

本文首先利用状态空间模型构建了中国时变系数的金融形势指数(FCI),结果表明FCI对未来产出和通货膨胀率均具有良好的预测能力。将FCI作为整体金融形势宽松程度指标纳入货币政策反应函数的实证研究发现,尽管包含FCI的泰勒规则缺乏一定的内在稳定性,但是与包含FCI的麦克勒姆规则相比,泰勒规则下的政策工具对FCI偏离变量的反应表现出逆周期行为,并且其模型拟合效果良好。

Firstly,using the state space model,This paper constructs a financial condition index(FCI) of timevarying coefficients for China.The results show that the FCI has good predictive ability of future output and inflation rate.Following this,as a indicator of accommodative level of the overall financial situation,we add the FCI into the monetary policy reaction function,and find that,although Taylor Rule lacks the internal stability, compared to McCallum Rule,the reaction of policy instrument of Taylor Rule to the FCI gap shows counter-cyclical characteristic,and its fitting result is well.