中國金融形勢指數(shù)及其與通貨膨脹關系的實證研究.pdf

1、中國科學技術大學碩士學位論文中國金融形勢指數(shù)及其與通貨膨脹關系的實證研究姓名：韓明睿申請學位級別：碩士專業(yè)：金融工程指導教師：@2011-04-08Abstract II ABSTRACT In a modernized financial system, asset prices play a significant role in the transmission mechanism from the conduct of mone

2、tary policy to inflation in the economy, thus should not be ignored by policy makers. This paper alalyzes the relations between money, asset prices and inflation, and attempts to construct China's Financial Condition

3、 Index (FCI) composed of the real short-term interest rate, real estate prices index, real effective exchange rate, real equity price index, and a monetary factor. Former researchs, which were mostly based on reduced-for

4、m VAR models, chose the broad money supply m2 as the monetary factor. Considering that the monetary policy in China is largely focused on loan instead of money supply, this paper employs a structual-form VAR model to inq

5、uire the relations between CPI and two kinds of FCI which take M2 and loans as the monetary factor respectively. The empirical results suggest that the loan-based FCI can indicate CPI better in advance. Therefore the cen