新形势下中国金融条件的测度与分析

Design of China’s FCI in the New Situation

本文采用利率、汇率、股价、房价、信贷和国际油价缺口构建了新形势下我国的金融条件指数(FCI),并考察了FCI对我国宏观经济变量的预测能力。在确定FCI各变量权重时,我们基于联立结构模型,明确设定所有金融变量通过总需求进而影响通货膨胀,同时允许国际油价直接对通货膨胀产生影响。实证结果表明,在样本期内FCI对通货膨胀和GDP增长率具有较强的预测能力,说明FCI可以作为中国货币政策的重要参考指标。

This study constructs a Financial Conditions Index (FCI) for China in terms of the real interest rate gap,real exchange rate gap,real housing price gap,real stock price gap,loan gap and international oil price gap.Our simultaneous equations allow financial variables to affect the inflation indirectly based on aggregate demand;alternatively,the international oil price gap is allowed to directly exert influence on the inflation.And,we find the FCI exerts good predictive ability of future inflation and output in the sample,which implies the FCI might be a good indicator for China's monetary policy.