美国货币政策溢出效应中新兴国家资本管制的非线性影响分析——基于PSTR模型  

Analysis of the Non-linear Impact of Capital Control in Emerging Countries on the Spillovers from US Monetary Policy:Based on PSTR Model

作　　者：刘凌[1] 张晶晶 Liu Ling;Zhang Jingjing

机构地区：[1]上海对外经贸大学金融管理学院,上海201620 [2]中国建设银行上海市张江分行,上海201203

出　　处：《经济问题探索》2021年第7期62-70,共9页Inquiry Into Economic Issues

基　　金：上海市哲学社会科学规划一般课题“资本市场开放对人民币汇率稳定的影响研究”(2020BJB022),项目负责人:刘凌。

摘　　要：2020年全球新冠肺炎疫情扩散,美联储无限宽松货币,美元溢向全球,新兴市场国家如何避免国际资本大进大出影响国内经济是迫在眉睫的问题。本文以总量法衡量的资本管制程度作为转换变量建立非线性PSTR模型,发现资本管制对美国货币政策溢出效应存在非线性影响。资本管制严格的新兴国家土耳其、印度和中国的资本账户开放水平提高,其受美国货币政策溢出效应的影响变小;资本管制宽松的新兴国家如阿根廷、巴西、俄罗斯以及印尼随着资本账户开放水平提高,受到美国货币政策溢出效应的影响变大。建议我国对跨境资本渐进、有序地开放,防止美国货币政策溢出的负面冲击。In 2020,the global new coronary pneumonia epidemic spread,and the Fed loose currencies unlimitedly.These currencies will spill over to the world.How to use capital controls to deal with these spillover currencies is an imminent problem in emerging market countries.In this paper,the capital account openness measured by the total amount method is used as the conversion variable to establish a non-linear PSTR model,and it is found that the change in capital control has a nonlinear effect on the impact of US monetary policy on the output of emerging countries.Emerging countries with strict capital control,such as Turkey,India and China,as the level of capital account liberalization increases,are less affected by the spillover effect of US monetary policy;emerging countries with loose capital control,such as Argentina,Brazil,Russia and Indonesia,are more affected by the spillover effect of U.S.monetary policy with the improvement of capital account opening level.Therefore,China should not relax its management of cross-border capital too much,and it should gradually and orderly open its capital account to prevent the negative impact of US monetary policy spillovers.

关 键 词：资本管制 货币政策 溢出效应 PSTR模型 

分 类 号：FA821.6