伴随着中国经济不断增长,中美经贸和金融关系相互依存的同时,摩擦也日益频繁,因此,比较研究中美大国货币政策双向溢出效应显得必要而迫切。本文通过构建两国DSGE模型,嵌入一价定律缺口与资本不完全流动条件,对中美大国货币政策双向溢出效应的方向与程度进行了比较研究。数值模拟结果显示：第一,中美货币政策确实存在双向的溢出效应,但具有不对称性;第二,中美两国数量型货币政策的溢出影响程度皆要强于其价格型货币政策;第三,美国货币政策对中国部分经济变量的溢出影响程度甚至要强于对美国本国经济变量的政策效果,而中国货币政策效应仍以惠及本国经济为主。
Abstract
Along with the strong economic aggregate of China, the economic and financial relations between China and US are interdependent and frictions are becoming more frequent. Therefore, it is necessary to compare the two-way spillover effect of the monetary policy of the big countries. This paper presents a two-country DSGE model with the law of one price gap and the imperfect capital mobility, in which we study comparatively the direction and extent of the bidirectional spillover effect of monetary policy between China and US. The results of numerical modeling suggest: Firstly, there actually exist the bidirectional spillover effect of monetary policy between China and US, but asymmetry. Secondly, the spillover effect of quantitative monetary policy is more strongly than price-based monetary policy for either China or the United States. Thirdly, U.S. monetary policy has spillover effect on part of China's economic variables, which is even greater than its effect on U.S. economic variables, meanwhile China's monetary policy still mainly affects its own economy.
关键词
货币政策 /
溢出效应 /
两国DSGE模型
{{custom_keyword}} /
Key words
Monetary Policy /
Spillover Effect /
Two-Country DSGE Model
{{custom_keyword}} /
中图分类号：
F821
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 丁志国,徐德财,赵晶. 美国货币政策对中国价格体系的影响机理[J]. 数量经济技术经济研究,2012(8):3-18
[2] 黄宪,杨子荣. 中国货币政策会冲击到美国货币政策吗——基于效应外溢视角[J]. 国际金融研究,2016(1):15-27
[3] 李永刚. 美国量化宽松货币政策影响及中国对策[J]. 财经科学,2011(4):1-8
[4] 李自磊,张云. 美国量化宽松政策是否影响了中国的通货膨胀?——基于SVAR模型的实证研究[J]. 国际金融研究,2013(8):13-21
[5] 聂菁,金洪飞. 美国量化宽松货币政策对中国行业出口的溢出效应研究[J]. 国际金融研究,2015(3):3-12
[6] 吴宏,刘威. 美国货币政策的国际传递效应及其影响的实证研究[J]. 数量经济技术经济研究,2009(6):42-52
[7] 杨子荣. 中国货币政策会冲击到美国股票市场吗——基于效应外溢视角[J]. 国际经贸探索,2016(1):79-94
[8] 杨子荣,白德龙. 中国货币政策对美国经济存在效应外溢吗[J]. 世界经济研究,2016(4):12-21
[9] Azar A.Commodity Price Indexes and the US Money Supply in the Long Run:Further Tests[J]. Journal of Financial Markets Research,2012(4):35-47
[10] Bauer M D,Neely C J.International Channels of the Fed's Unconventional Monetary Policy[J]. Journal of International Money & Finance,2014,44(3):24-46
[11] Bekiros S,Paccagnini A.Estimating Point and Density Forecasts for the US Economy with a Factor-augmented Vector Autoregressive DSGE Model[J]. Studies in Nonlinear Dynamics & Econometrics,2015,19(2):107-136
[12] Calvo G,Reinhart C M.Capital Inflows and Real Exchange Rate Appreciation in Latin America:the Role of External factors[J]. Imf Staff Papers,1993,40(1):108-151
[13] Christiano L,Eichenbaum M,Evans C.Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy[J]. Journal of Political Economy,2005,113(1):1-45
[14] Erceg C J,Henderson D W,Levin A T.Optimal Monetary Policy with Staggered Wage and Price Contracts[J]. Journal of Monetary Economics,2000,46(2):281-313
[15] Frazscher M.Capital flows,Push Versus Pull Factors and the Global Financial Crisis[J]. Journal of International Economics,2012,88(2):341-356
[16] Kim S.International Transmission of U.S. Monetary Policy Shocks:Evidence from VAR's[J]. Journal of Monetary Economics,2001,48(2):339-372
[17] Kim S J,Nguyen D Q T. The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets[J]. Journal of International Financial Markets,Institutions & Money,2009,19(3):415-431
[18] Kolasa M.Structural Heterogeneity or Asymmetric Shocks?Poland and the Euro Aere Through the Lens of a Two-country DSGE model[J]. Economic Modelling,2009,26(6):1245-1269
[19] Mackowiak B. External Shocks,U.S. Monetary Policy and Macroeconomic Fluctuation in Emerging Markets[J]. Journal of Monetary Economics,2007(54):2512-2520
[20] Miyakoshi T,Jalolov M.Money-income Causality Revisited in EGARCH:Spillovers of Monetary Policy to Asia from the US[J]. Journal of Asian Economics,2005,16(2):299-313
[21] Monacelli T.Monetary Policy in a Low Pass-through Environment[J]. Journal of Money Credit and Banking,2005,37(6):1047-1066
[22] Neri S,Nobili A.The Transmission of US Monetary Policy to the Euro Area[J]. International Finance,2010,13(1):55-78
[23] Sousa J M,Zaghini A.Monetary Policy Shocks in the EURO Area and Global Liquidity Spillovers[J]. International Journal of Finance and Economics,2008,13(3):205-218
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
*本文获国家社会科学基金青年项目“中美大国货币政策溢出效应、博弈与协调研究”（17CJY064）和国家社会科学基金项目“研究阐释党的十九大精神国家社科基金专项立项课题”（18VSJ045）资助
{{custom_fund}}
京公网安备 11010202008337号
