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通过运用广义脉冲响应函数方法,构建了我国的金融状况指数(FCI),并基于马尔科夫区制转换模型对我国的通货膨胀进行了两区制转换,将其划分高、低通胀区制,最后基于不同区制运用FCI对通货膨胀进行了预测。发现:相对于低通胀区制,FCI在高通胀区制下对通货膨胀具有更好的解释与预测作用。这表明在高通胀阶段,FCI指标可以作为通胀的辅助指标纳入央行货币政策的关注范围。
By using the generalized impulse response function method, we construct our country’s financial status index (FCI) and carry out a two-zone system conversion of our country’s inflation based on the Markov Regime System Conversion Model, divide it into two parts: high and low inflation zone system, Finally, based on different zoning system using FCI to predict inflation. It is found that FCI has a better explanation and prediction of inflation in the high inflation zone than low inflation regime. This shows that during the high inflation period, the FCI indicator can be included as a supplementary indicator of inflation into the central bank’s monetary policy.