Financial Condition Index and Monetary Policy Reaction Function’s Empirical Test in China
利用状态空间模型构建中国时变系数的金融状况指数（FCI），发现其对未来产出和通胀有良好预测能力；将FCI纳入货币政策反应函数后，泰勒规则对FCI缺口的反应呈逆周期特征且拟合效果优于麦卡勒姆规则。
Firstly,using the state space model,This paper constructs a financial condition index(FCI) of timevarying coefficients for China.The results show that the FCI has good predictive ability of future output and inflation rate.Following this,as a indicator of accommodative level of the overall financial situation,we add the FCI into the monetary policy reaction function,and find that,although Taylor Rule lacks the internal stability, compared to McCallum Rule,the reaction of policy instrument of Taylor Rule to the FCI gap shows counter-cyclical characteristic,and its fitting result is well.