美国退出QE对中美两国金融市场的影响及中国的对策——基于FAVAR模型的分析  

The Effect of Fed's QE withdrawal on Financial markets of USA and China

作　　者：余振[1] 张萍[2] 吴莹[3] 

机构地区：[1]武汉大学经济发展研究中心 [2]武汉大学经济与管理学院 [3]中国人民银行武汉分行

出　　处：《世界经济研究》2015年第4期24-32,127,共9页World Economy Studies

基　　金：国家社会科学基金重大攻关项目"后金融危机时代中国参与全球经济再平衡的战略与路径研究"(11&ZD008);武汉大学哲学社会科学优势和特色学术领域建设计划"后危机时代世界经济格局变动对中国的机遇和挑战"的资助

摘　　要：美国退出QE会对其自身的金融市场产生直接影响,通过国际传导机制势必也会对中国金融市场产生动态影响。根据FAVAR模型的模拟分析可知,美国退出QE之后,股市和房地产市场在短期内会受到抑制,但债券收益率的大幅上涨和美元的升值都将提高其对国际短期资本的吸引力。对于中国而言,股票市场在短期内将受到较大的负面冲击,但长期负面影响将趋于消失;房地产市场会在初期受到抑制,但不会大幅下跌;人民币汇率会上升且外汇储备会出现小幅减少,但人民币中长期贬值空间有限且双边波动加剧;货币市场和债券市场受到的冲击则不显著。因此,在短期内中国应该密切关注QE退出的影响,灵活地进行货币政策调节并加强流动性管理,在长期内中国则应该深化财税制度改革尤其是房地产税改革,加快推进汇率制度改革及外汇市场监管并在更大范围内开展货币政策的国际沟通与协调。Ending QE by Fed is having a direct impact on US financial markets,which will inevitably produce a dynamic impact on China's financial markets through international transmission mechanism.The simulation analysis FAVAR model shows that QE withdrawal will inhabit(? inhibit?) U.S.stock and real estate market initially,but eventually will improve the financial condition by boosting the bond yields and bidding up dollar value.As for China,the stock market will experience a relatively large but short negative shock; the real estate market is suppressed in the beginning,but no sharp drop will be caused; exchange rate of RMB rises and foreign exchange reserves experience a slight decrease; however,the medium term and long-term devaluation of RMB is limited,showing intensified bilateral fluctuations; the impact on money market and bond market is not significant.Therefore,in the short term China should pay close attention to the impact of QE exit,and in the long term China should deepen the reform of its taxation system,especially the real estate tax reform,accelerate the reform of the exchange rate regime and conduct wider international communication and coordination regarding monetary policy.

关 键 词：美国 退出QE 金融市场 外溢性 FAVAR模型 

分 类 号：F827.12[经济管理—财政学] F837.12F832