4国际储备货币视角下货币政策的外溢效应:理论及中国的实证  

Study on the Spillover Effects of Monetary Policy from the Perspective of International Reserve Currency:Theory and Evidence from China

作　　者：曹伟[1] 王旭祥[2] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018 [2]特华博士后科研工作站,北京100732

出　　处：《上海金融》2014年第4期58-63,117,共6页Shanghai Finance

基　　金：教育部人文社科青年基金项目(批准号:11YJC790005);浙江省自然科学基金青年科学项目(批准号:LQ12G03012);浙江工商大学金融学研究中心基地项目;教育部人文社科重点研究基地浙江工商大学现代商贸研究中心项目的资助;上海金融与法律研究院的资助

摘　　要：基于储备货币视角,本文分析了中国货币政策外溢效应的四个传导渠道;最后,利用2005年7月汇改以来的月度数据,研究了中国货币政策对东南亚五国宏观经济的外溢效应。结论表明:第一,中国货币供给量对马来西亚、印尼以及菲律宾三国的定期存款利率有显著的Granger影响,中国的同业拆借利率对马来西亚、泰国以及印尼的定期存款利率具有显著的Granger影响。第二,中国的货币供给量对五国通货膨胀影响的Granger成因不明显,中国同业拆借利率对新加坡和印尼的通货膨胀有明显影响。第三,双边汇率变动对中国与五国进出口贸易的影响存在显著的Granger成因。另外,研究表明,中国货币政策短期对东南亚五国金融经济的影响较为显著,而对反映实体经济状况的进出口贸易影响相对较小,对实际经济的影响需要经历较长的时滞。针对以上结论,本文得到了许多有益启示。Based on the reserve currency perspective, the paper analyzes four transmission channels of the spillover effects of monetary policy. Finally, with the monthly data since the exchange rate reform in July 2005, the paper studies the spillover effects of China's monetary policy on the five Southeast Asian country's macroeconomics. The conclusions are: first, China's money supply has significant Granger impacts on the deposit rates in Malaysia, Indonesia and the Philippines, and China's inter-bank interest rates have significant impacts on the deposit interest rate in Malaysia, Thailand and Indonesia. Second, China's money supply has no significant Granger impacts on the inflation rates in all of the five South-east Asian countries, and China's inter-bank interest rates have significant impacts on the inflation rates in Singapore and Indonesia. Third, for the impact of bilateral exchange rate fluctuations on import and export trade between China and the five countries, there are significant Granger causes. In addition, studies have shown that China's monetary policy has significant effects on the financial economics in the five Southeast Asian countries in the short run, and has insignificant effects on import and export trade, which is the reflection of real economy. Given the above conclusion, the paper finally draws a lot of useful inspiration.

关 键 词：国际储备货币 货币政策 外溢效应 

分 类 号：F830[经济管理—金融学]