我国货币状况指数的构建及其应用的实证研究

本文根据1996-2009年宏观经济季度数据，运用基于VAR的广义脉冲反应函数方法构建了包含利率、汇率和货币供给量的我国货币状况指数，并考察其是作为我国货币政策的信息指示器的功能。研究表明货币状况指数不仅可以作为我国货币政策执行效果的重要参考，而且能够提供货币政策目标的未来动态信息，货币状况指数可以作为我国货币政策操作的信息指示器。

Construction and Application of Monetary Conditions Indices

In this paper, according to the data over the period 1996Q1—2009Q1, we design a Monetary Conditions Indices (MCIs), whose weights are derived from the generalized impulse-response functions based on a VAR. The results show that MCIs not only can be used to analysis monetary policy “tighter” or “looser” than previous or benchmark period, but also appears to be correlated with economic growth and inflation fairly closely. So MCIs can serve as a coincident indicator for monetary policy stance and a leading indicator for economic growth and inflation.