随着我国对外开放程度的持续提升,中美经济金融关系愈发错综复杂,美国货币政策对我国产生了愈发显著的溢出效应。本文通过构建开放经济背景下外部融资溢价的影响因素模型,论证美国货币政策对我国经济周期和金融周期的冲击在规模、力度和时序上的差异;通过构建我国金融周期指数,采用SVAR 模型考察2008—2017年美国货币政策对我国金融周期与经济周期的溢出效应;通过方差分解分析,对比美国数量型和价格型货币政策的冲击差异。结果表明：美国货币政策会引发我国金融周期与经济周期波动,金融周期先行于经济周期并存在放大效应,美国数量型和价格型货币政策对我国经济金融周期波动的解释能力亦存在差异。因此,应高度重视美国货币政策的溢出效应,采取有效措施提高我国经济应对外部冲击的能力,确保经济金融稳定。
Abstract
With the continuous implementation of the“opening-up”policy in China, the US monetary policy has an increasingly significant spillover effect on China. The purpose of this paper is to comprehensively explore the impact of US monetary policy changes on China's finance and economy from the perspective of cycle theory in the context of the relative separation of financial cycle and business cycle.
Through constructing the influencing factor model of external financing premium under the background of open economy, this paper demonstrates the differences of the impact of US monetary policy on China's business cycle and financial cycle in terms of the scale, intensity and sequence. The financial cycle index of China is constructed by nine indicators representing the overall operating state of the financial system, including the scale of social financing, money supply, real estate price, etc. Adopting SVAR model, this paper investigates the spillover effects of US monetary policy on China's financial cycle and business cycle from 2008 to 2017.
The paper confirms that the US monetary policy can affect the fluctuation of China's financial cycle and business cycle, but the influence is inconsistent. The financial cycle precedes the business cycle and has an amplifying effect. Meanwhile, the quantitative and price-based US monetary policies have different explanatory effect on China's business and financial cycle fluctuations.
In order to better cope with external shocks, this paper puts forward the following three suggestions. Firstly, it is advisable to attach importance to the early warning effect of US monetary policy changes on China, and improve the pre-warning system of external shocks. Secondly, the government should strengthen macro-prudential supervision, actively build a macro-economic regulatory framework which includes financial stability objectives and establish a linkage mechanism of the financial and economic cycle for easing external shocks. Thirdly, attention should be paid to strengthen the mechanism of China-US strategic dialogue and take maximum advantage of positive interaction.
关键词
货币政策 /
溢出效应 /
金融周期 /
经济周期
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Key words
Monetary Policy /
Spillover Effect /
Financial Cycle /
Business Cycle
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中图分类号：
F821
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基金
*本文获国家社会科学基金重大研究专项项目“金融扩大开放格局下货币政策与宏观审慎政策有效协调研究”（20BJY234）、福建省自然科学基金项目“双支柱调控框架下货币政策与宏观审慎政策协调机制研究”（2019J05025）资助
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