美国非常规货币政策对中国经济的影响——基于零利率下限和符号约束的VAR分析  

The Impact of US Unconventional Monetary Policy on China's Economy:An VAR Analysis with Zero Lower Bound and Sign Restrictions

作　　者：肖卫国[1] 赵阳[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《经济管理》2013年第6期12-19,共8页Business and Management Journal ( BMJ )

基　　金：国家社科基金重大项目"完善宏观金融调控体系研究--基于针对性;灵活性和前瞻性的视角"(12&ZD046);教育部人文社会科学规划基金项目"住房价格波动;消费与中国货币政策最优选择:基于异质性预期视角"(11YJA790169)

摘　　要：本文运用带符号约束条件的向量自回归模型分析了联邦基金利率处于零利率下限时美国非常规货币政策对中国经济的影响。研究表明,美国非常规货币政策在提高自身实际产出增长率和增加自身通货膨胀率的同时会降低中国实际产出增长率和提高中国通货膨胀率。中国对美国净出口在美国非常规货币政策对中国实际产出影响的传导过程中起主要作用。世界商品价格在美国非常规货币政策对中国通货膨胀影响的传导过程中起主要作用。鉴于此,中国应推进经济结构调整,降低国际贸易波动对国内经济增长的负面影响,逐步增加人民币汇率弹性区间,进一步促进人民币国际化,同时需关注短期国际资本流动。In the case of conventional monetary policy stimulus invalid, the central bank injects liquidity into market by purchasing the government bonds. Such measures are called unconventional monetary policy. Unconven- tional monetary policy stimulates the economy out of deflation from two aspects. On the one hand, lower interest rate not only helps enterprises to keep costs low, but also is conducive to promote consumption, and thus plays a positive role in promoting economic growth. On the other hand, adequate funding makes the banks not to worry a- bout liquidity problems. All these banks are burdened with a large number of non-performing loans. Banks can take more pro-active action to resolve the problem of non-performing loans. It can even promote the restructuring of the financial industry and the other industries. But unconventional monetary policy is like a double-edged sword. Im- plementation of unconventional monetary policy can help ease the tight money market conditions, contribute to the resumption of economic growth. However, the unconventional monetary policy will lead to sharp depreciation of the national currency. It stimulates their exports. At the same time, it will deteriorate other countries＇ economy and lead to trade friction, and so on. The adoption of unconventional monetary policy by the United States Federal Re- serve Bank since early 2009 has aroused the widespread concerns in the world and elsewhere regarding its possible impact in terms of the weakening of the US dollar and stimulating capital flows into emerging economies that might increase inflationary pressures and uncertain impact on output of these countries. In this paper, we study the impact of US unconventional monetary policy shocks on China＇s real output and inflation rate over the period 2007M1- 2012M4. We use a sign restrictions VAR approach to identify Fed＇s unconventional monetary policy shocks when cline in the long-term bond yield spread induced by US central banks＇ asset purchases within an environment in which the

关 键 词：非常规货币政策 零利率下限 符号约束 脉冲响应 

分 类 号：F831.6[经济管理—金融学]