新凯恩斯菲利普斯曲线框架下的中国动态金融状况指数
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财经研究 2011 年 第 37 卷第 11 期, 页码：62 - 71
摘要
参考文献
摘要
鉴于当前金融状况指数变量权重系数缺乏动态性,文章采用递归广义脉冲响应函数方法构建了中国动态金融状况指数。研究发现,动态指数对未来一个季度的产出和通胀水平都具有较好的预测能力,且更适用于预测未来通胀。在此基础上,文章将动态指数作为衡量金融市场的变量纳入新凯恩斯混合菲利普斯曲线模型中,运用GMM方法进行估计,结果表明动态指数对当期和未来一个季度的通胀具有显著的正向效应。因此,有必要将金融状况指数作为一个金融市场变量纳入菲利普斯曲线框架下,以分析金融市场对通胀的影响。
关键词
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[2]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,(12):53-64.
[3]耿强,张永杰,朱牡丹.中国的通胀、通胀预期与人民币有效汇率——开放新凯恩斯混合菲利普斯曲线框架下的实证分析[J].世界经济文汇,2009,(4):23-35.
[4]陆军,梁静瑜.中国金融状况指数的构建[J].世界经济,2007,(4):13-24.
[5]杨小军.中国新凯恩斯主义菲利普斯曲线的经验研究[J].统计研究,2011,(2):13-18.
[6]Bernanke B,Gertler M,Gilchrist S.The financial accelerator and the flight to quality[J].Review of Economics and Statistics,1996,78(1):1-15.
[7]Fuhrer J,Moore G.Monetary policy trade-offs and the correlation between nominalinterest rates and real output[J].American Economic Review,1995,85(1):219-239.
[8]GalíJ,Gertler M,David Lopez-Salido J.Robustness of the estimates of the hybrid newKeynesian Phillips curve[J].Journal of Monetary Economics,2005,52:1107-1118.
[9]GalíJ,Gertler M.Inflation dynamics:A structural econometric analysis[J].Journal ofMonetary Economics,1999,44:195-222.
[10]Goodhart C,Hofmann 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,2001.
[11]Goodhart C,Hofmann B.Asset prices and the conduct of monetary policy[A].TheRoyal economic society annual conference[C].University of warwich,March,2002.
[12]Hatzius J,Hooper P,Mishkin F,et al.Financial conditions indexes:A fresh look afterthe financial crisis[R].NBER Working Paper No 16150,2010.
[13]Rudd J,Whelan K.New tests of the new-Keynesian Phillips curve[J].Journal of Mo-netary Economics,2005,52:1167-1181.
引用本文
陆军, 刘威, 李伊珍. 新凯恩斯菲利普斯曲线框架下的中国动态金融状况指数[J]. 财经研究, 2011, 37(11): 62–71.
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