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本文运用VAR模型构建了包含利率、汇率、房价、上证指数、广义货币供应量、消费者物价指数五个变量缺口值在内的金融状况指数(FCI,Financial Condition Index),将FCI与通货膨胀和股市投资热度(新增证券账户数)进行预测检验,发现前者与后两者具有很强的一致性,并对后两者有很好的预测性。这表明房价和股票价格等资产价格对经济的影响越来越大,中央银行在实施调节经济波动,诸如控制通货膨胀的货币政策时,必须把资产价格可能影响货币政策的传导和独立性加以考虑。同时,因为本文所构建的金融状况指数在样本区间内与股市投资热度走势相吻合,所以FCI对投资者的股市投资决策具有一定参考价值。
This paper constructs the Financial Condition Index (FCI), which includes the five variable gap values of interest rate, exchange rate, housing price, Shanghai Stock Exchange Index, broad money supply and consumer price index, using VAR model to integrate FCI with inflation And the stock market investment (new securities account number) for the test, we found that the former and latter two have strong consistency, and the latter two have good predictability. This shows that asset prices such as house prices and stock prices have an increasing economic impact on the economy. When the central bank is implementing monetary policies that regulate inflation, such as controlling inflation, the central bank must consider the conduction and independence of asset prices that may affect monetary policy . At the same time, because the financial status index constructed in this paper is consistent with the trend of the stock market investment in the sample interval, FCI has certain reference value for investors’ decision of stock market investment.