国际货币政策溢出效应、人民币汇率与中国贸易差额——基于TVP-VAR-SV模型的动态影响关系分析  

International Monetary Policy Spillover Effects,Renmenbi Exchange Rate and China's Trade Balance: The Dynamic Relationship Analysis Based on TVP-VAR-SV Model

作　　者：刘尧成[1] 

机构地区：[1]苏州大学商学院

出　　处：《世界经济研究》2016年第6期69-81,135,共13页World Economy Studies

基　　金：国家社会科学基金项目"国际量化宽松冲击对中国经济的动态影响与应对策略研究"(批准号:13CJL030);上海市哲学社会科学规划课题"中国国际收支失衡的可持续性与最优对策组合研究"(批准号:2012EJL001)的阶段性研究成果

摘　　要：文章应用贝叶斯框架下的TVP-VAR-SV模型分析了金融危机以来美、日、欧等主要国际货币区的货币政策(文章简称为"国际货币政策")变化对中国经济溢出效应的传导机制。我们发现国际货币政策在方向和力度方面的调整和变化能够通过其与中国的利率之差表现出来,进而对人民币汇率以及中国贸易差额产生溢出效应。这种溢出效应具有显著的时变特征:首先,从影响的程度来看,国际货币政策在推出或退出等方向性变化时溢出效应尤其明显;其次,从时间上来看,国际货币政策的变化会对人民币汇率和中国贸易差额在不同时期造成不同程度的影响,人民币汇率对中外利差的变化非常敏感,而人民币汇率和贸易差额的变化也会引起中外利差随时间不同程度的变化,但是人民币汇率对中国贸易差额的影响呈现出显著的"倒J曲线"效应,显示汇率弹性理论在中国并不成立。Based on the TVP-VAR-SV model in the Bayes inference framework,this paper analyzes the spillover effects of United States of America,Japan and European's monetary policy to China's economy after the recent financial crisis. We find the variations of the international monetary policies can be reflected from the interest rate spread between China and the above four different monetary areas,which causes spillover effects to China's exchange rate and trade balance. This kind of spillover effects can be characterized as follows: firstly,the international monetary policies affect mostly when they begin or come to end; secondly,the international monetary policies' influence to China's exchange rate and trade balance varies when time goes on. RMB exchange rate is sensitive to the interest spread,and also RMB exchange rate and China's trade balance shocks cause variation to the interest rate spread in different time,but the impulse response of China' s trade balance to RMB exchange rate shows an ' inverse J-curve' effect,which indicates the ' Marshall-Lerner condition' does not establish in China. Finally,we give some recommendations about the domestic and foreign policy portfolio and collocation to deal with the impact of international monetary policy shocks.

关 键 词：国际货币政策 溢出效应 人民币汇率 贸易差额 

分 类 号：F752[经济管理—国际贸易] F832.6[经济管理—产业经济]