摘要
本文在以往的MCI中加入非货币性资产价格因素和货币规模等变量,在宏观经济AD-AS框架下推导FCI的数理模型,基于联立方程模型构建了中国金融条件指数(FCI)。实证结果表明FCI时间变化与我国现实金融环境波动有显著联系。引入"适应性预期"后,把随机游动理论和VAR模型相结合,使用FCI可较好地对通胀作出样本外预测。本文从实证角度证实我国通胀形成某种意义上带有"适应性"特征,居民和企业都倾向于支持之前的通胀信息,而其余新信息则主要影响通胀的非趋势性部分。
Adding non-monetary asset price factor and monetary scale variables in previous MCI, this paper suggests that the form of mathematical model about FCI can be derived under the AD-AS framework in macroeconomics, and uses simultaneous equations to construct FCI in China. The empirical results show that time series of FCI is significantly relevant to current volatility in financial environment. After introducing ＂Adaptive expectations＂, combining random walk theory and VAR model, the FCI can be good for inflation forecast out of the sample, which empirically proves forming process of inflation with adaptive feature in China, residents and enterprises tend to support the previews inflation, and other new information can mainly affect non-trend part of inflation.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2011年第12期115-131,共17页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金项目(批准号:71171035)
辽宁省教育厅2008年度优秀人才支持计划(批准号:2008RC15)的资助
关键词
金融条件指数
联立方程模型
预测
Financial Conditions Index
Simultaneous Equation
Forecast
