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本文基于动态模型平均方法 (DMA), 运用2003-2017年中国20个宏观经济指标的月度数据, 构建含有时变系数和随机波动率的因子増广向量自回归模型 (TVP-FAVAR), 计算我国金融状况指数 (FCI) .对FCI预期通胀现象进行直观检验后, 使用马尔科夫区制转移向量自回归模型 (MSVAR) 分析我国FCI和通胀预期的两区制效应.结果发现:改进后的FCI显示“新常态”时期的金融状态明显好于2008年金融危机时期, FCI与通胀具有高度相关性, 短期内具有明显领先通胀的非线性预期能力, 金融状态宽松时期对通胀预期效果比趋紧状态时更稳健.“,”Based on Dynamic Model Averaging (DMA), choosing the data from 20 macroeconomic variables from January 2003 to October 2017, this paper constructs a new model with timevarying coefficients and stochastic volatility of Factor augmented vector autoregressive model (TVPFAVAR) to calculate China's financial condition index (FCI).After the intuitionistic test of FCI expected inflation phenomenon, we use Markov regime switching vector autoregressive model (MSVAR) to analyze the two-region effect of FCI and inflation expectation in China.The results show that the improved FCI shows that the financial situation in the “new normal”period is obviously better than that in the financial crisis period in 2008.FCI is highly correlated with inflation and has the ability to lead inflation significantly in the short term, and the effect of financial easing on inflation expectations is more robust than it is in tightening conditions.Finally, this paper puts forward some policy suggestions to the current economy.