金融状况指数和货币政策中介目标

[]2009-09-19[](1968-),,,,,(,330013)[],(FCI),,[];;;[]F832[]A[]1007-9556(2009)11-0095-07FinancialConditionsIndexandMonetaryPolicyIntermediaryTargetWANGXue-feng(SchoolofEconomics,JiangxiUniversityofFinanceandEconomics,Nanchang330013,China)Abstract:Thepaperconstructsafinancialconditionsindex(FCI)forChinatoreflectthefinancialsituation,basedonreducedformag2gregatedemandfunction,andevaluatestheFCIspredictabilityandcorrelationwithmacroeconomictargets,whichfindstheFCIcanserveasaauxiliaryindicatorofChinasmonetarypolicyintermediarytarget,bytestingitsin-sampleandout-of-sampleperformances.Comparedwiththeexistingresearches,thepaperhasanimprovement,whichistransferringthefixedweightsofthevariablesinFCItothetime-varyingonesbyconstructingStateSpaceModelandusingtheKalmanFilteralgorithm,revealstherealitiesofthechangingwithtimeoftheeconomicstruc2tureandfinancialinstitutions,andthedynamicstatesofChinasmonetaryandfinancialenvironment.KeyWords:FinancialConditionsIndex;StateSpaceModel;intermediarytarget;auxiliaryindicator,,,,,,,,,2080,MCIs(MonetaryConditionIndex,)FCIs(Fi2nancialConditionIndex,),,,,,,FriedmanM(1953),,,,BrunerMeltzer(1967)McCallum(1989),,,,592009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11JSwankLVanVelde(1997),,JozefVantDack(1999),,,,,2090,,,(FriedmanBM,1996),,80EikaEricssonNymoen(1996)(MCIs),,MCI,,MCIFCI(Finan2cialConditionIndex)CharlesGoodhartBorisHof2mann(2001),,FCIClineGauthierChristopherGrahamYingLiu(2004)19812000,ISFCI,MCI,FCI,(2003,2005)OSLVAR(2006)VAR(2007)OSLClineGauthierChristopherGrahamYingLiu(2004),FCIsMCIs,,VAR,FCIs,FCIsVARFCIs,Cholesky,FCIs,KalmanFilter,,,FCIsGDP()(FCIs),(),,FCIt=it(it-itit)(1),FCItt,itti,itti,itti,(i,t..n-i,t..n)Pi,t..nti,FCI,:it,it(),,,,,;,,,,692009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11,,FCI,FrancoModigliani(1971)KiyotakiMoore(1997)BernankeGertlerGilchrist(1998),GoodhartHofmann(2000),MichaelFBryan(2002),,,FCI,FCI,(1):FCIt=1trit+2treet+3trhpt+4trspt(2),FCItt,ritreetrhptrsptt,it(i=1,,4)rireerhprspFCI()1998120084FCI,,rireerhprsp(),Hodrick-Prescott,()(),()it,,FCI,,(ReducedformAg2gregateDemandFunction)FCI,,FCI,i=coefficient(Xi,t..n)|coefficient(Xi,t..n)(3),ii,Xi,t..n=(i,t..n-i,t..n)Pi,t..ni,coefficient(Xi,t..n)i,(Impulse-responseFunctions)FCI,GDPFCIVAR,GDP,FCI,,(FactorAnalysis),,FCIMCIFCI,,FCI,FCI,,,FCI(),,Kal2manFilter()FCI,GoodhartBorisHofmann(2001),:yt=1+m1l=1lyt-l+s1j1=1j11X1,t-j1++skjk=1jk1Xk,t-jk++t(4),ytt(),Xit,,i792009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11:t=T1t-1(5)t=T2t-1(6),T1,T2,(4)(5)(6),KalmanFilter,(3)FCIi,(2)FCI()(4)(5)(6),(4)rgdprireerhprsp1rgdprireerhprsprgdprireerhprspADF21.16684823.5366321.37293023.5212322.25703PP21.35552222.308321.50301923.516281323.115333:3335%1%,1ADFPP,5%,rgdpriree,,Jo2hansen2rgdprireerhprsp5%1%0.49468378.9962668.5276.07None330.46994750.3283447.2154.46Atmost130.28495223.6676329.6835.65Atmost20.1474309.58060415.4120.04Atmost30.0663092.8816043.766.65Atmost42,5%,,(4)(5)(6)(4)(),,:rgdp=c(1)+svl3rgdp(-1)+sv43rgdp(-4)+iv53ri(-4)+hv13rhpdv+hv53rhp(-4)+ev43ree(-3)+pv53rsp(-4)+[var=exp(c(2))](7),()(5)(6):sv1=sv1(-1)sv4=sv4(-1)iv5=iv5(-1)hv1=hv1(-1)hv5=hv5(-1)ev4=ev4(-1)pv5=pv5(-1)(8),sv1sv4iv5hv1hv5ev4pv5(7)KalmanFilter(7)(8),33KalmanFilterrgdp()rgdp(21)(sv1)rgdp(24)(sv4)ri(24)(iv5)rhp(21)(hv1)rhp(24)(hv5)ree(23)(ev4)rsp(24)(pv5)0.3570.33320.1590.1030.09520.1490.029Z3.41333.073322.45332.25332.463322.77333.6333LogLike2lihood2119.921Akaikeinfocriterion6.096Schwarzcriterion6.1273,,Z,,(AIC)(SC),1FCI(7)(8)()(3),892009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11rireerhprspFCI(1),,,rireerhprsp()(),,,,,,21999120084(%)(2)1999120084,90,,20072008,,,(-6%,8%),FCI,FCI,()FCI(GDP)(CPI)4,FCI5GDP3(),FCI,FCIGDP,,4FCIrgdpCPI0.521(5)0.460(3):H-P,FCI,FCIGDPFCICPIVAR,,3,FCICPI(F3.01,5%)5FCIGDPVAR6FCICPIVAR,GDPCPIFCI(3),FCIGDPCPI,FCI,FCI3GDPCPIFCI()FCI,GDP(CPI)(M2)(AR),M2FCI992009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11,,,FCIM2:yt=+ps=1syt-s+qk=1kM2t-k+t(9)M2FCI:yt=+ps=1syt-s+qk=1kM2t-k+ml=1lFSCIt-l+t(10),yttGDPCPI,s(L)kl5,(M2)ARGDPCPIM2FCI,(RMSE),FCI,,M2FCI,(M2),FCI(M2)5RMSEGDP:1999Q12007Q4:2008Q12008Q4CPI:1999Q12007Q4:2008Q12008Q4AR+M23.59302.2074AR+M2+FCI3.45481.9264,,,,,,,FCI,,KalmanFil2ter,,,,,1999120084,,2007,2008,FCI,,,,,(),,FCI(),FCIFCI,,,FCI,:(CPI),(BIS,http:PP),,H-P1600(GoodhartBorisHofmann,2001),riH-PIS(Backward-lookingISCurve),GDP,FCI()0012009113111PPPPPPPJournalofShanXiFinanceandEconomicsUniversityNov.,2009Vol.31No.11,19982008(),,,,,,,FCI,,JanWillemvandenEnd(2006),8,AICSC[][1]JSwank,LVanVelden.Instruments,ProceduresandStrategiesofMonetaryPolicy:AnAssessmentofPossibleRelationshipsfor21OECDCountries[R].ImplementationandTacticsofMonetaryPolicy,BISConferencePapers,No.3,1997.[2]JozefVantDack.ImplementingMonetaryPolicyinEmergingMarketEconomies:AnOverviewofIssues,MonetaryPolicyOperatingProceduresinEmergingMarketEconomies[R].BISPolicyPapersNo.5,1999.[3]GoodhartC,BH