金融状况指数和货币政策中介目标_王雪峰[借鉴].pdfVIP

　　　　　　　　　　　　　山西财经大学学报　　　　　　　　　　　　 2009 年 11 月 Journal of ShanXi Finance and Economics University Nov. ,2009 第 31 卷 第 11 期 Vol . 31 No . 11 财政 ·金融 ·投资 金融状况指数和货币政策中介 目标 王雪峰 (江西财经大学 经济学院 ,江西 南昌 330013) ( ) [摘 　要] 以简化的总需求方程为基础 ,构建了旨在反映中国货币金融环境的金融状况指数 FCI ,并对该指数和宏观经 济 目标的相关性及其预测能力进行了样本内和样本外的检验 ,发现该指数可以充当中国货币政策中介 目标的辅助指标 。 [ 关键词] 金融状况指数 ; 　状态空间模型 ; 　中介 目标 ; 　辅助指标 ( ) [ 中图分类号] F832 　　　　[文献标识码] A 　　　　　　[文章编号] 1007 - 9556 2009 11 - 0095 - 07 Financial Conditions Index and Monetary Policy Intermediary Target WAN G Xue - feng ( School of Economics ,Jiangxi University of Finance and Economics ,Nanchang 330013 ,China) Abstract :The paper constructs a financial conditions index (FCI) for China to reflect the financial situation ,based on reduced form ag gregate demand function ,and evaluates the FCI’s predictability and correlation with macroeconomic targets ,which finds the FCI can serve as a auxiliary indicator of China ’s monetary policy intermediary target ,by testing its in - sample and out - of - sample performances. Compared with the existing researches ,the paper has an improvement ,which is transferring the fixed weights of the variables in FCI to the time - varying ones by constructing State Space Model and using the Kalman Filter algorithm ,reveals the realities of the changing with time of the economic struc ture and financial institutions ,and the dynamic states of China ’s monetary and financi