美国货币政策溢出效应、中国资产价格波动与资本账户管理  

Spillover Effects of U.S.Monetary Policy,China's Asset Price Fluctuations and Capital Account Control

作　　者：吴立元 赵扶扬 王忏 龚六堂 WU Liyuan;ZHAO Fuyang;WANG Chan;GONG Liutang(Institute of World Economics and Politics,Chinese Academy of Social Science;School of Economics,Central University of Finance and Economics;School of Finance,Central University of Finance and Economics;School of International Economics and Management,Beijing Technology and Business University;LMEQF,Peking University)

机构地区：[1]中国社会科学院世界经济与政治研究所,北京100732 [2]中央财经大学经济学院,北京100081 [3]中央财经大学金融学院,北京100081 [4]北京工商大学国际经管学院,北京100048 [5]北京大学数量经济与数理金融教育部重点实验室,北京100871

出　　处：《金融研究》2021年第7期77-94,共18页Journal of Financial Research

基　　金：国家社会科学基金重大项目(19ZDA069);国家社会科学基金重大招标项目(21ZDA034);国家自然科学基金青年项目(72003211);教育部人文社会科学研究青年研究项目(20YJC790184);中央高校基本科研业务费专项资金;中央财经大学科研创新团队支持计划;中央财经大学标志性科研成果培育项目的资助。

摘　　要：本文以2016年美国加息事件为背景,研究美国货币政策对中国资本流动、资产价格和宏观经济的影响。基于小国开放动态随机一般均衡模型,本文梳理了美国货币政策溢出效应的具体传导渠道,发现国外利率升高后,资本流动具有外部性,导致国内资产价格下跌,其通过金融加速器进一步使国内投资下降、资产价格进一步下跌,从而使得国内资产预期回报进一步下降,加剧资本外流。基于政策和福利分析,本文发现资本账户管理可以有效缓解国外利率冲击对经济波动的影响,同时会提高货币政策的独立性,但也会影响国民财富的最优配置。因此,最优的资本账户管理应同时兼顾宏观审慎和效率两个方面。A bulk of empirical studies have confirmed the spillover effects of U.S.monetary policy on China and other emerging market countries.The U.S.Federal Reserve resumed its quantitative easing policy in 2020.This resulted in the federal funding rate falling to zero,a dramatic expansion of the Federal Reserve's balance sheet,and a global flood of liquidity.Currently,the U.S.economy is gradually recovering,and inflation is rising.It is therefore expected that the Federal Reserve will soon tighten monetary policy and increase the federal funding rate.This implies that emerging market countries,including China,may once again experience a shortage of liquidity and interest rate hikes,in contrast to the current extremely fluid monetary policy.This raises the following three key questions.What are the spillover effects of U.S.monetary policy on China's economy?What is the mechanism of such spillover effects?What policies could stabilize the fluctuations caused by these spillover effects?This paper aims to answer these questions with reference to the Federal Reserve's interest rate hike in 2016.Based on Davis and Presno(2017),we contruct a small open economy dynamic stochastic general equilibrium model(DSGE)with financial friction and a real estate market.We thereby propose the causative mechanism as follows:The increase in U.S.interest rates generates externalities in the flow of capital,which accelerates the decline of domestic asset prices.This triggers the first feedback channel,which is driven by financial friction,leading to the synergistic decline of domestic investment and asset prices.Thus,the expected return on domestic assets is reduced,which triggers a second feedback channel and further increases capital outflows.In addition,we use welfare analysis to determine the optimal level of capital account control and its effect on the independence of monetary policy.This reveals the optimal level of capital account control should be moderate,as such control has two opposing effects:capital account control can effectivel

关 键 词：美国货币政策 资产价格 资本账户管理 宏观经济波动 

分 类 号：F827.12[经济管理—财政学] F832F124