货币政策与金融形势指数fci 面向var 的实证分析.pdfVIP

142 数量经济技术经济研究2006 年第11 期 FCI: VAR 封北麟 王贵民 ( 北京师范大学经济与工商管理学院) 为了探索资产价格在货币政 中的信息功能, 经济学者们构造了金融 形势指数FCI 以反映未来产出与通货膨胀率的变化常规的FCI 指数包括真实短 期利率真实房地产价格指数真实有效汇率指数和真实股权价格指数鉴于中国 货币政 的实践, 本文拓展了FCI 指数的概念, 考察了加入真实货币供应量的FCI 指数在中国货币政 传导中的信息角色基于VAR 模型的实证研究表明: FCI 指 数可以成为中国货币政 的重要参照系; 包含真实货币供应量的FCI 指数对CPI 通胀率具有更好的预测力 金融形势指数FCI 货币政 通货膨胀率 F8 A Monetary Policy and Financial Conditions Indices: a VAR Analysis Abstract : In order to explore the information role played by asset prices in mo netary policy, economists build Financial situation Indices to reflect the future out put and inflation Traditionally, FCI combines the movement of the short term real interest, the real effective exchange rate, real house prices and real equity prices In view of the monetary policy practices of Peoples Bank of China, this pa per extends the concept by adding monetary aggregate into FCI and analyzes its in formation contents T he evidence from VAR model show s that FCI could be an im portant indicator of Chinas monetary policy and the FCI including monetary aggre gate is better than that excluding monetary aggregate in forecasting the future con sumer price inflation Key words: Financial Conditions Indices; Monetary Policy; Consumer Price In flation FCI: : 货币政 与金融形势指数 FCI: 基于VAR 的实证分析 143 ( Franco Modigliani, 1971) ( Bernanke Gertler, 1989; Kiyotaki Moore, 1997; Bernanke, Gertler Gilchrist, 1998) ; , Alchian Klein ( 1973) , ( Goodhart Hofmann, 2000) Michael F Bryan ( 2002) , ( leading in dicator) , , Borio ( 1994) , , Goodhart Hofmann ( 2001) MCI ( Monetary Condition In dex) FCI ( Financial Condition In dices) , FCI