美国货币政策对我国经济的溢出效应分析

发布时间：2017-12-28 12:06

本文关键词：美国货币政策对我国经济的溢出效应分析　出处：《吉林大学》2016年博士论文　论文类型：学位论文

【摘要】：随着全球经济一体化程度的不断加深,国内经济受到了更多的来自于世界经济局势的考验。其中美国作为世界第一大经济体,其货币政策的调整势必会对全球其他经济体造成显著的溢出效应。金融危机爆发后,美联储为了刺激经济实施了一系列非常规货币政策,这些政策虽然实现了本国经济的复苏,缓解了失业压力,但却对其他经济体的汇率、金融等市场造成相当的压力。目前,随着美国经济的好转,美联储货币政策已逐步常规化,并开启了新一轮的加息周期。这也再次对世界经济造成了强烈冲击,全球经济周期和宏观政策走向分化,多数经济体货币对美元均表现出不同程度的贬值,其中新兴经济体货币更是普遍大幅度贬值。比较而言,虽然我国所受到的冲击影响相对有限,且经济总体保持了中高速增长,但面对当前复杂多变的全球经济形势,以及美联储后续加息节奏、力度的不确定性,我国经济仍面临诸多风险。因此,准确研判美国货币政策溢出效应对我国的影响机制和作用机理,量化分析溢出效应对我国经济造成的影响在当前国内实施“供给侧”改革和经济转型调整时期都是至关重要的。基于上述考虑,本文研究内容及简要结论如下:(1)验证美联储货币政策冲击对我国短期跨境资本流动的溢出效应。通过检验证实我国短期跨境资本流动具有非线性特征,中美利差的滞后一期为转换变量,再对转换函数的形式加以检验证实为逻辑型。最后选择LSTR模型进行估计,得到回归结果及门限值。中美利差超过门限值0.65%时,汇率、利差的冲击效应均表现出增强的特点,而美联储货币政策宽松程度的冲击作用强度变化不显著,但影响作用持续期变短;采购经理人指数的影响则并未出现机制转变,同时其对跨境资本流动的冲击最为突出。因此美联储实施量化宽松政策时,尽管中美利差大幅度增加但我国短期跨境资本流动波幅相较于其他新兴经济体较平稳,主要是由于我国宏观基本面状况相对平稳,且实施的盯住美元汇率政策、外汇管制及宏观审慎政策也缓解了汇率波动。货币政策常规化以来利差逐渐下降,终会回归至危机前水平即门限值附近。因此可通过实施降准降息政策进一步刺激我国经济复苏;同时还可通过不断完善汇率市场和扩大汇率波幅的方式抑制我国出现短期跨境资本大幅度外流的状况。(2)运用LT-TVP-VAR模型研究美联储“数量型”及“价格型”货币政策冲击对我国经济增长及通货膨胀的溢出效应及传导渠道。其中“价格型”货币政策由于联邦基金利率在零利率下限的环境下失去意义,因此通过构建SRTSM模型估计美联储影子利率作为替代;而“数量型”货币政策则采用美国资产负债表规模作为指标。研究得出,美联储宽松政策对我国经济增长具有正向溢出效应但同时也加剧了我国的通货膨胀水平。比较证实“数量型”货币政策对我国经济增长的溢出效应更为显著,因此在关注加息对我国经济增长和通胀冲击的同时更应关注未来联储资产负债表规模缩减对我国经济的冲击。另外对汇率、利率及贸易三个传导渠道冲击效应进行比较研究,美联储紧缩性货币政策降低了我国利率和实际有效汇率水平,同时通过逆向的支出转换效应及吸收效应的作用削减了我国净出口。三者比较贸易渠道受到的冲击最为显著。本文还通过(E)GARH、TVECM等模型进一步了解验证传导渠道特点及相互间联系。(3)运用混频向量自回归模型研究大宗商品价格作为传导渠道对我国物价水平的溢出效应。以开放经济中的菲利普斯曲线模型为基础,将外生冲击大宗商品价格与汇率加入传统菲利普斯曲线构建实证模型。考虑到宏观经济变量产出为季度数据,与其他研究变量频率存在差异,为避免频率转换带来的信息丢失和误差,采用MF-VAR模型进行估计。研究结果认为后金融危机时期大宗商品价格的上升对我国CPI和PPI均具有显著的促进作用,且其中对PPI的冲击效应较为显著。另外人民币有效汇率波动则对物价水平具有负向冲击。面对当前我国CPI低于2%,PPI连续三年为负且通缩状况不断加剧的情况,可利用大宗商品对我国物价影响存在一定时滞性,建立检测和预警机制,避免价格水平发生大幅度波动。(4)通过SVAR、MS-VAR以及DCC-GARCH模型对美联储货币政策冲击影响我国资产价格的效应及传导渠道加以估计检验。通过模型估计中美股市动态相关系数,证实政策可以通过股市联动渠道传导,再利用MS-VAR模型验证美联储货币政策可以通过影响中美股市的关联程度进而对我国资产价格产生影响。尽管危机前后美联储货币政策对两市联动的溢出效应出现变化,但在全球经济环境平稳时,中美两国的股市仍显著的受到美国货币政策的影响;而危机爆发当期,美国货币政策的外溢效应基本消失则说明我国货币当局通过调节货币政策手段避免股市受到美国股市波动联动影响是有效可行的。运用SVAR模型具体分析了溢出效应。美国货币供给量调整对我国股票收益率的影响相对微弱,联邦基金利率的增加尽管即期带动我国股市走高,但之后转为消极影响;而房地产价格方面,美国货币政策的冲击方向与我国政策一致,但效果相对较小。在通过调整我国货币政策来抑制美国货币政策对我国房地产价格的溢出影响时应充分考虑其冲击的长期性及影响方向的变化性。另外美国货币政策调整对房地产市场的影响更为显著、持续期更长、关系更复杂。(5)基于TVP-FAVAR模型从货币政策、资产价格及宏观经济状况三个角度共选取了30个经济指标变量构建了我国金融状况指数,并检验了这一指数的有效性。然后利用潜在利差和名义利差分别作为美联储非常规货币政策与常规货币政策的代理便利,运用TVP-VAR模型对美国货币政策外溢性影响我国FCI的时变效应进行了实证研究。首先运用等间隔冲击响应整体分析了金融危机爆发前至今美国货币政策对我国金融市场在短期、中期及长期的不同影响,证实在美联储实施或退出量化宽松政策时期,其常规及非常规货币政策对我国金融市场的外溢效应存在显著差别,继而针对这些特殊时点进一步进行实证研究。美联储退出量化宽松政策后,常规货币政策即期对我国金融市场稳定具有显著的消极影响,而非常规货币政策则表现为相对较弱的积极影响。通过总结美联储退出量化宽松时对我国的冲击以及对比分析历史美联储加息溢出效应特点,本文认为我国人民币汇率虽面临压力,但实体经济企稳,低水平的外债占比以及处于相对高位的外汇储备足以应对加息冲击,本轮加息虽对我国金融市场造成一定冲击,但形成整体市场极度动荡的概率较小。通过上述实证分析本文从不同的角度研究了美国货币政策外溢性对我国经济的传导渠道及溢出效应。并针对不同渠道,结合当前错综复杂的全球经济环境和我国宏观经济特点提出了相关政策建议,以缓解美联储新一轮的加息周期及其政策的不确定性对我国经济造成冲击,提前化解相关风险。
[Abstract]:With the deepening of the global economic integration, the domestic economy has been tested more from the world economic situation. As the largest economy in the world, the adjustment of monetary policy of the United States will cause significant spillover effects on the other economies of the world. After the outbreak of the financial crisis, the Fed implemented a series of unconventional monetary policies to stimulate the economy. Although these policies have realized the recovery of their own economy and alleviated the pressure of unemployment, they have caused considerable pressure on other economies such as exchange rate, financial market and so on. At present, with the improvement of the US economy, the Fed's monetary policy has been gradually normalized and opened a new round of interest rate increase cycles. This once again has a strong impact on the world economy. The global economic cycle and macro policy are going to differentiate. Most of the currencies of the economies show different devaluation to the US dollar, and the currencies of emerging economies are generally devaluing widely. Comparatively speaking, although China's impact is relatively limited, and the economy has maintained a high-speed growth, but facing the current complex and changing global economic situation, as well as the uncertainty of the pace and intensity of the Fed's subsequent interest rate increase, China's economy is still facing many risks. Therefore, accurately analyzing the impact mechanism and mechanism of the US monetary policy spillover effect on China, and quantitatively analyzing the impact of spillover effects on China's economy is crucial in the current implementation of the "supply side" reform and economic transformation adjustment period. Based on the above considerations, the research content and brief conclusions are as follows: (1) verify the spillover effect of the impact of the Fed monetary policy impact on China's short-term cross-border capital flows. It is confirmed by test that China's short term cross-border capital flow has nonlinear characteristics. The lag between the US and China spreads is a conversion variable, and the transformation function is verified as a logical form. Finally, the LSTR model is selected to estimate the regression results and the threshold value. The U.S. interest rate exceeds a threshold value of 0.65%, the impact of the effect of exchange rate and interest showed enhanced features, but not significantly impact strength change in the Fed's monetary policy easing, but the effect of duration becomes shorter; influence of purchasing managers' index is not a system change, and its impact on Cross-border capital flows the most prominent. Therefore, the Fed's quantitative easing, although the U.S. interest rate increases but China's short-term cross-border capital flows volatility compared to other emerging economies is relatively stable, mainly due to China's macroeconomic fundamentals are relatively stable, and the implementation of the dollar exchange rate policy, foreign exchange control and macro Prudential policy to alleviate the fluctuation of exchange rate. Since the normalization of monetary policy, the difference of the interest rate has gradually declined, and it will eventually return to the pre crisis level, that is, near the threshold value. Therefore, we can further stimulate China's economic recovery through the implementation of the policy of lowering interest rates, and at the same time, we can also curb the short-term outflow of cross-border capital in China by improving the exchange rate market and expanding the volatility of the exchange rate. (2) using LT-TVP-VAR model to study the spillover effect and transmission channel of the Fed's quantitative and price monetary policy shocks on China's economic growth and inflation. The "price" of monetary policy because the federal funds rate is meaningless at the zero lower bound environment, so by constructing a SRTSM model to estimate the Fed's shadow interest rate as a substitute; and the "quantity" of monetary policy by the size of the balance sheet as an index. The study shows that the loose policy of the Fed has a positive spillover effect on China's economic growth, but it also aggravates the level of inflation in China. It is confirmed that the "quantitative" monetary policy has a more significant spillover effect on China's economic growth. Therefore, we should pay more attention to the impact of the scale of the Federal Reserve's balance sheet on China's economy when we pay attention to the impact of interest rate increase on China's economic growth and inflation. The comparative study of the exchange rate, interest rate and trade three channel shock effect, the Fed tightening monetary policy to reduce the interest rate of our country and the real effective exchange rate, and reverse the expenditure switching effect and absorption effect of cut China's net export. The three comparison of trade channels is the most significant impact. In this paper, (E) GARH, TVECM and other models to further understand the characteristics of the transmission channel and the relationship between each other. (3) using the mixed frequency vector autoregressive model to study the spillover effect of commodity prices on the price level of our country. Based on the Phillips curve model in the open economy, the empirical model is constructed by adding the price of exogenous shocks and the exchange rate to the traditional Phillips curve. Considering that the output of macroeconomic variables is quarterly data, there are differences in frequency with other research variables. In order to avoid information loss and error caused by frequency conversion, we use MF-VAR model to estimate. The results show that the rise of commodity prices in the post financial crisis period has a significant role in promoting CPI and PPI in China, and the impact on PPI is more significant. In addition, the fluctuation of the effective exchange rate of RMB has a negative impact on the price level. In the face of the fact that China's CPI is below 2%, PPI has been negative for three consecutive years and deflation has been increasing, there will be some time lag in the impact of commodity prices on China's prices. A mechanism of detection and early warning is established to avoid a significant fluctuation in the price level. (4) through the SVAR, MS-VAR and DCC-GARCH models, the effect of the impact of the monetary policy of the Fed on the asset price of our country and the channel of transmission are estimated and tested. The dynamic correlation coefficient between Chinese and American stock markets is estimated by the model. It is confirmed that the policy can be conducted through the stock market linkage channel, and then the MS-VAR model is used to verify that the Federal Reserve's monetary policy can affect the US and China's stock market.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F827.12;F124;F224

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