美国货币政策对中国汇率和利率传导的实证研究  

An Empirical Research on US Monetary Policy Transmission to China's Exchange Rate and Interest Rate

作　　者：张晶晶[1,2] 刘凌[3] 

机构地区：[1]复旦大学经济学院,上海400433 [2]中国人民银行上海总部,上海200120 [3]上海对外经贸大学,上海201102

出　　处：《上海金融》2014年第1期52-56,117,共5页Shanghai Finance

基　　金：教育部人文社会科学研究项目“国际油价冲击对人民币汇率传导及其机制研究”(批准号:10YJC790171);上海市教育委员会科研创新项目重点项目“油价冲击下货币政策适度性研究”(批准号:12ZS199);上海市教委第5期重点建设学科金融学建设项目(J51201);上海对外经贸大学085工程资助

摘　　要：本文通过构建SVAR模型研究美国货币政策对中国汇率和利率渠道的传导效应。实证结果表明美国价格和数量型货币政策冲击对中国名义和实际汇率及名义利率均没有显著影响,汇率渠道和利率渠道在美国货币政策冲击对中国的传导作用都不明显。美国价格型货币政策冲击对中美利差具有很强的解释力,美国数量型货币政策冲击对人民币兑美元汇率差有较大的影响。境内外汇率差与跨境资金流动走势高度一致。This essay explores the transmission of US monetary policy to China's exchange rate and interest rate based on SVAR model.The empirical study leads to the following conclusions:A) neither US price-based nor quantitative monetary shocks have significant impact on China's exchange rate and interest rate,no matter nominal or real.Neither exchange rate channel nor interest rate channel in the narrow sense plays a significant role in the transmission process of US monetary policy to China.B) US price-based monetary shocks can strongly explain the interest spread between US and China,and US quantitative monetary shocks will significantly affect the difference between on-shore and off-shore RMB exchange rate against USD.C) The trends of the difference between on-shore and off-shore exchange rate and the cross-border fund flow are highly consistent.

关 键 词：货币政策 汇率 利率 传导渠道 美国 中国 

分 类 号：F821.0[经济管理—财政学]