金融状况指数FCI与货币政策反应函数经验研究

文章运用VAR模型经验估计了中国的金融状况指数FCI,结果表明FCI指数对通货膨胀率具有良好的预测力。在此基础上,将FCI指数作为目标和信息变量纳入泰勒规则,运用GMM方法估计了中国的货币政策反应函数,发现FCI指数与短期利率存在正相关关系,可以成为货币政策的短期指示器;但是利率调节对CPI通胀率、产出缺口和金融形势的松紧变化均反应不足。特别是利率对金融形势松紧变化的调节不足,刺激了金融不平衡和资产价格泡沫的相互推动和累积,是经济不平稳发展的重要政策诱因。

An Empirical Study on China's Financial Condition Index and Monetary Policy Reaction Function

This paper employs VAR methodology to empirically estimate China's Financial Condition Index.The evidences show that FCI can appropriately describe the change of financial conditions of China from 1995 to 2005 and has favorable function of forecasting future inflation.Based on the above,the author proceeds by estimated Taylor rules augmented with FCI as target and signal variable with Generalized Method of Moment Methodology.The results suggest that FCI is positively correlated with short-term interest rate and could be an indicator of future inflation.However,the interest rate policies of People's Bank of China reacted insufficient to CPI inflation and the gap of production as well as financial condition,which stimulates the asset price bubble and financial imbalance to interact and accumulate.So the interest rate policy of PBC is unstable and an important factor that leads to unstable economic development.