美联储利率调整对中国跨境资本流动的溢出效应  

Spillover Effect of Fed’s Interest Rate Adjustment on China’s Cross Border Capital Flows

作　　者：肖卫国[1] 兰晓梅 Xiao Weiguo;Lan Xiaomei(Economics and Management School,Wuhan University,Wuhan 430070,China;School of Finance and Statistics,Hunan University,Changsha 410006,China)

机构地区：[1]武汉大学经济与管理学院,武汉430070 [2]湖南大学金融与统计学院,长沙410006

出　　处：《统计与决策》2020年第16期135-139,共5页Statistics & Decision

基　　金：教育部哲学社会科学研究重大课题攻关项目(17JZD015);武汉大学国别与区域研究资助项目;中国博士后科学基金第67批面上资助项目(2020M672463)。

摘　　要：文章运用自回归条件异方差(ARCH)模型对美联储联邦基金利率和中国跨境资本流动的波动性以及波动之间的溢出效应做了全面分析。结果显示:美联储联邦基金利率和中国跨境资本流动都存在明显的波动性,中国跨境资本流动的波动性与敏感性要高于美联储联邦基金利率。此外,虽然美联储联邦基金利率对中国跨境资本流动波动存在显著单向的溢出效应,定引起我国跨境资本流动波动风险系数的提高,但中国跨境资本流动的宏观审慎政策能在一定程度降低这种溢出效应的负面影响。为此,中国货币当局应进一步完善和健全跨境资本流动的宏观审慎政策框架,以应对美联储政策利率调整对我国跨境资本流动的冲击。This paper uses the Autoregressive Conditional Heteroscedasticity(ARCH) model to make a comprehensive analysis on the volatility and spillover effect between the federal fund rate and China’s cross-border capital flows. The results show that there exists obvious volatility in the federal funds rate of the Federal Reserve and cross-border capital flow in China, and that the volatility and sensitivity of China’s cross-border capital flows are higher than that of the federal fund rate of the Federal Reserve.Although the federal fund rate has a significant one-way spillover effect on the volatility of cross-border capital flow in China,which is bound to result in the increase of risk coefficient of cross-border capital flows,the macro prudential policy of China’s cross-border capital flows can reduce the negative impact of this spillover effect to a certain extent. To this end, China’s monetary authorities should further improve and perfect the macro prudential policy framework for cross-border capital flow in order to cope with the impact of the Fed’s policy interest rate adjustment on China’s cross-border capital flows.

关 键 词：联邦基金利率 跨境资本流动 溢出效应 宏观审慎政策 

分 类 号：F820.3[经济管理—财政学]