美国量化宽松政策变化对我国短期资本流动的动态影响——基于时变参数状态空间模型的研究  

The Dynamic Effect of US Quantitative Easing Policy on China's Short-Term International Capital Movement——A Study based on Time Varying Parameter Model

作　　者：刘尧成[1] 

机构地区：[1]苏州大学商学院,江苏苏州215021

出　　处：《商业研究》2016年第4期61-69,共9页Commercial Research

摘　　要：2008年国际金融危机以来,美国经历了量化宽松政策的实施和退出过程,而欧洲和日本又推出了新的量化宽松政策,这些政策变化对中国短期资本流动产生了不确定性的影响。应用时变参数状态空间模型分析美国量化宽松政策的实施与退出对中国短期资本流动的动态影响机制,发现这种影响具有明显的时变特征,表现为中美利差、人民币兑美元汇率和美国货币乘数波动对中国短期资本流动影响的弹性系数的波动性逐步变小,这说明中国短期资本流动受国际量化宽松政策的影响越来越弱,但是在量化宽松政策推出和退出的变化窗口期却会对中国短期资本流动形成巨大冲击。After the international financial crisis broke up in 2008,among the three main international reserve countries,the United States has implemented and ended its QE policy,but Europe and Japan have just announced their new QE policy,which will surely have uncertain impact on China＇s short- term international capital movement. This paper studies the impact of US QE police on China＇s short- term international capital movement based on a time- varying parameter model,finding the elasticity of impact coefficient of China- US interest rate difference,RMB exchange rate and American monetary multiplier on China＇ s short- term international capital movement varies but their variance becomes smaller as time goes on,and QE indeed affect greatly China＇ s short- term international capital movement,especially when it starts and ends.

关 键 词：量化宽松 资本流动 时变参数模型 

分 类 号：F831.6[经济管理—金融学]