日本的“异次元”宽松货币政策变化及其对东亚新兴经济体股票市场的溢出效应  

The Changes of Japan’s Unconventional Monetary Policy and Its Spillover Effects on Stock Markets in East Asian Emerging Market Economies

作　　者：张伊丽 Zhang Yili

机构地区：[1]华东师范大学经济与管理学部

出　　处：《世界经济研究》2020年第5期59-72,M0003,共15页World Economy Studies

基　　金：国家社会科学基金后期资助项目“金融衍生品市场与金融监管的互动研究”(项目编号:18FJY021)的阶段性研究成果。

摘　　要：文章主要研究了2008年以后日本的"异次元"宽松货币政策对东亚地区股票市场的溢出效应。研究结果表明,相对美国来说,虽然日本也实施了超宽松的货币政策,但是该政策对新兴经济体的溢出效应相对较小,不同的非传统货币政策工具的溢出效应也存在较大差异。在日本的"异次元"宽松货币政策中,量化质化宽松货币政策致使日元大幅贬值,这对相邻国家和地区的股票市场产生了负溢出效应,不利于东亚地区的经济增长;但是,另一方面,由于量化质化宽松货币政策刺激了日本经济复苏,因此,该政策的正溢出效应在后期逐渐显现,从而对东亚地区的股票市场又产生了积极的影响。与量化质化宽松货币政策不同,日本的负利率政策对日本经济的促进作用有限,而且,由于负利率政策不同于以往的利率机制,尤其是负的长期利率政策增加了日本金融机构的经营风险,迫使日本金融机构不得不加大海外投资,因此,日本的负利率政策对东亚地区的股票市场具有正溢出效应。This paper mainly studies the changes of Japan’s monetary policy after 2008 and its spillover effects on East Asian emerging economies,and focuses on the spillover effects of Japan’s unconventional monetary easing policy on the Asian stock markets. The results show that,compared with the United States,although Japan has also implemented unconventional monetary easing policy,the spillover effects of this policy on emerging economies are relatively small,and there are large differences in the spillover effects of different unconventional monetary policy instruments. Japan’s Quantitative and Qualitative Monetary Easing policy led to yen’s sharp depreciation,which had a negative spillover effect on the stock markets of neighboring countries and regions,which was not conducive to the East Asian’s economic growth;however,the positive spillover effects of Quantitative and Qualitative Monetary Easing policy,which stimulated the recovery of the Japanese economy,gradually became apparent at stage the later,thus having a positive impact on East Asian emerging economies. Unlike Quantitative and Qualitative Monetary Easing policy,Japan’s Negative Interest Rate Policy has a limited effect on the Japanese economy,and because the Japan’s Negative Interest Rate Policy is different from the previous interest rate mechanism,especially the negative long-term interest rate policy has increased the operational risk of Japanese financial institutions. Japanese financial institutions have had to invest more abroad,so Japan’s Negative Interest Rate Policy has a positive spillover effect on East Asian stock markets.

关 键 词：非传统的货币政策 新兴经济体 经济增长 亚洲股票市场 溢出效应 

分 类 号：F831.51[经济管理—金融学] F823.13