美、日货币政策对中国产出的溢出效应研究  

Spillover Effect of U.S. & Japan Monetary Policy Shocks on Output in China

作　　者：何国华[1] 彭意[2] 

机构地区：[1]武汉大学经济与管理学院金融系 [2]武汉大学经济与管理学院

出　　处：《国际金融研究》2014年第2期19-28,共10页Studies of International Finance

摘　　要：本文根据蒙代尔-弗莱明-多恩布什模型说明美国和日本货币政策变动对中国产出的影响及其传导渠道,并选取美国、日本和中国2000-2012年利率、汇率、通货膨胀以及对外贸易等方面的月度数据,采用SVAR模型进行实证分析。结果表明,美国扩张性的货币政策主要影响中国的通货膨胀和汇率水平,而日本货币政策则对中国的对外贸易情况影响程度更大。因此,在防范外国货币政策变动对中国产出水平的冲击时,对美国应更多的关注输入型通货膨胀和美元贬值对中国的不利影响,对日本则应关注中日双边贸易关系。Based on Mundell-Fleming-Dornbusch model, this paper discusses that foreign countries＇ monetary policy has effect on China＇ s output level. To analyze the degree and the size of the effect, this paper tests Sino-U.S. and Sino-Japan relationship by using the monthly data from 2000 to 2012. We take advantage of SVAR model to study the relationship between among the interest rate, exchange rate inflation and foreign trade .Furthermore, we examines how the monetary policy in the United States and Japan, respectively, has impact on China＇s output level. The results showed that the U.S. expansionary monetary policy mainly affected China＇s inflation and exchange rate, while Japan＇s monetary policy mainly affected China＇s foreign trade situation. Therefore, while preventing the negative impact of foreign economic policies, we should pay more attention to the spillover effect of the U.S. monetary policy in terms of imported inflation and dollar depreciation and the negative impact of Japan＇s monetary policy on Sino-Japan bilateral trade relations.

关 键 词：货币政策溢出效应 M—F—D模型 SVAR模型 

分 类 号：F831[经济管理—金融学]