中美货币政策双向溢出效应研究——基于TVP-SV-FAVAR模型实证分析  

Dynamic Two-way Spillover Effects of China-US Monetary Policies——Based on TVP-SV-FAVAR Model

作　　者：崔百胜[1] 吴澄明 鲍冠豪 杨朝远 CUI Bai-sheng;WU Cheng-ming;BAO Guan hao;YANG Chao-yuan(School of Finance and Business,Shanghai Normal University 200234;School of Finance,Shanghai University of International Business and Economics 201620)

机构地区：[1]上海师范大学商学院,200234 [2]上海对外经贸大学金融管理学院,201620

出　　处：《上海经济研究》2021年第12期94-110,共17页Shanghai Journal of Economics

基　　金：国家社会科学基金重点项目“综合、一致与协调框架下的跨周期政策设计与逆周期调节研究”(基金编号:21AJY024)阶段性成果之一。

摘　　要：为应对新冠疫情对本国经济与金融市场的冲击,中国主要从总量、价格和结构上采取灵活适度政策支持实体经济发展,美国则实施了大规模直达实体经济的非常规货币政策,两国货币政策在对本国经济发生作用的同时,也对他国产生溢出效应。本文运用中美2007年1月-2021年3月期间的宏观经济变量,构建TVP-SV-FAVAR模型,分析两国货币政策双向溢出效应,并重点考察新冠疫情期间溢出效应的时变特征。结果发现,美联储货币供应量与利率调整,均会对中国各宏观经济变量产生较为显著的影响。相比于金融危机,新冠疫情时期的量化宽松政策,对中国经济增长、通货膨胀、对外贸易及股价产生更为显著且持续时间更长的正向冲击,"零利率"政策同样会对中国经济增长、通货膨胀、金融信贷、人民币汇率产生正向冲击且持续期较长;反观,新冠疫情期间中国货币政策对美国通货膨胀几乎不产生影响,对其余经济变量的影响更多呈现短期特征,长期则不显著,且波动的主要因素是来自疫情而非中国货币政策。During the New Development Paradigm, China’s monetary policy mainly adopts flexible and appropriate policies in terms of aggregate, price and structure to support the development of the real economy. The United States implemented a large-scale unconventional monetary policy directly to the real economy. The monetary policies of the two countries not only affect their own economies, but also have spillover effects on the other country. Using the macroeconomic variables of China and the United States in 2007.1-2021.3, this paper builds a TVP-SV-FAVAR model to analyze the two-way spillover effects of monetary policy and focuses on the time varying characteristics of spillover effects during the period of COVID-19. The results show that the Fed’s money supply and interest rate adjustment have a significant impact on China’s macroeconomic variables. Compared with the financial crisis, the quantitative easing policy in the COVID-19 era has a positive impact on China’s economic growth, inflation, foreign trade and stock prices. The zero interest rate policy also have a positive impact on China’s economic growth, inflation, credit and exchange rate, and the duration is longer. In contrast, China’s monetary policy during COVID-19 has little effect on U.S. inflation, and the impact on other economic variables is more short-term. But the long-term effect is not significant. The main factor of the fluctuation is the epidemic rather than China’s monetary policy.

关 键 词：后新冠疫情时代 中美货币政策 双向溢出效应 TVP-SV-FAVAR模型 

分 类 号：F820.2[经济管理—财政学]