金融状况指数FCI与货币政策反应函数经验研究
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财经研究 2006 年 第 32 卷第 12 期, 页码：55 - 66
摘要
参考文献
摘要
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。
②数据来源于中国广播网:http://www.cnradio.com/home/column/sldzj/hhcj/200211070119.html。
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[1]彭洁,刘卫江.资产价格泡沫和货币政策响应———基于Taylor规则的分析[J].金融论坛,2004,(12):48~54.
[2]王维安,贺聪.房地产价格与通货膨胀预期[J].财经研究,2005,(12):64~87.
[3]伍志文,周建军.“股经背离”的存在性之争及其实证检验[J].财经研究,2005,(3):37~47.
[4]王玉宝.金融形势指数(FCI)的中国实证[J].上海金融,2005,(8):29~32.
[5]姚耀军.金融发展与城乡收入差距的经验分析[J].财经研究,2005,(2):49~59.
[6]于长秋.中国的股票价格波动及货币政策反应[J].中央财经大学学报,2006,(3):45~49.
[7]杨继红,王浣尘.我国货币政策是否响应股市泡沫的实证分析[J].财贸经济,2006,(3):38~40.
[8]张卫国,马文霞,任九泉.中国股价指数与宏观影响因素的协整关系研究[J].当代经济科学,2002,(11):7~11.
[9]Alchian Armen A,Klein Benjamin.On a correct measure of inflation[J].Journal ofMoney,Credit and Banking,1973,5(1):173~191.
[10]Alberto Montagnoli,Oreste Napolitano.Financial conditionindex and interest rate set-tings:Acomparative analysis[C].Money Macro and Finance(MMF)Research GroupConference Paper,NO.1,2004.
[11]Bernanke B,M Gertler.Should central banks respond to movements in asset prices?[J].American Economic Review Papers and Proceedings,2001,91(2):253~257.
[12]Borio C,P Lowe.Asset prices,financial and monetary stability:Exploring the nexus[R].BIS Working Papers,No.114,2002.
[13]Cecchetti Stephen,Hans Genberg,John Lipsky,Sushil Wadhwani.Asset prices andcentral bank policy[R].Geneva Report on the World Economy 2 CEPR and ICMB,2000.
[14]Charles Bean.Asset prices,financial i mbalances and monetary policy:Are inflation tar-gets enough?[R].BIS Working Paper No.140,2003.
[15]Goodhart C,Hof mann B.Asset prices,financial conditions,and the transmission of mo-netary policy[A].Asset prices,exchange rates,and monetary policy[C].Stanford Uni-versity,March 2~3,2001.
[16]Fisher Irving.The debt-deflation theory of great depression[J].Econometric,October,1933,1:337~357.
[17]Kontonikas A,A Montagnais.Has monetary policy reacted to asset price movements:Evidence fromthe UK[J].Ekonomia,Forthcoming,2004,7:18~23.
[18]Modigliani,Franco.Monetary policy and consumption[A].Consumer spending andmnoetary policy:The linkages[C].Federal Reserve Bank of Boston,Conference SeriesNo.5,1971.
[19]Partha Ray,Somnath Chatterjee.The role of asset prices in Indian inflation in recentyears:Some conjectures[R].BIS Papers,No.8,2001.
[20]Taylor J.Discretion versus policy rules in practice[C].Carnegie-Rochestor conferenceseries on public policy,1993,39:195~124.
[21]Torsten Slok,Peter F Christoffersen.Do asset prices in transition countries containin-formation about future economic activity?[R].I MF Working Papers,No.00/103,2000.
引用本文
封北麟, 王贵民. 金融状况指数FCI与货币政策反应函数经验研究[J]. 财经研究, 2006, 32(12): 55–66.
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