全球金融周期、美联储资产负债表效应及其对中国经济溢出渠道的差异性研究  

Global Financial Cycle,Fed Balance Sheet Effect and the Heterogeneity of Spillover Channel for China’s Economy

作　　者：苏应蓉[1] 王熠琳 Su Yingrong;Wang Yilin

机构地区：[1]中南财经政法大学经济学院

出　　处：《世界经济研究》2022年第5期48-59,M0002,M0003,共14页World Economy Studies

基　　金：国家社会科学基金一般项目“金融市场开放对跨境资本流动的冲击效应及可能风险研究”(项目编号:21BJL40);教育部基金项目“RCEP区域人民币影响力的测度、影响因素与提升路径研究”(项目编号:21YJC790043)。

摘　　要：文章将全球金融周期分为高涨期、衰退期和正常期三种状态,基于纳入全球金融周期指数的资产平衡模型,采用三区制马尔科夫区制转移向量自回归模型(MSVAR)研究不同周期阶段美联储资产负债表的变动对中国溢出渠道的异质性。研究结果表明,美联储资产负债表的扩张与缩减所带来的效应会随着利率、资产重组、汇率和流动性四种渠道对中国经济进行传导。在全球金融周期的不同阶段,这种影响存在差异:汇率渠道在金融周期各阶段均发挥作用,且高涨期的影响大于衰退期;利率渠道、资产重组渠道和流动性渠道均在全球金融周期高涨期和衰退期发挥作用,而在正常期没有显著传导。这种溢出效应的异质性进一步加大了央行管理来自美国的外部冲击的难度。据此,文章从前瞻性变量管理、将全球金融周期纳入政策目标并根据周期阶段采取宏观审慎政策、加强渠道监督和国家经济基本面建设等角度提出应对这种外部冲击的政策建议。The global financial cycle could be divided into three stages: boom,bust and normal period. Based on the asset price model incorporated into the global financial cycle index,the paper studies the heterogeneity of spillover channels in China influenced by the changes of Fed’s balance sheet effect in different periods. Using the data of China and the U. S from the first quarter of 2003to the fourth quarter of 2019,an empirical test with the three-zone Markov-switching vector autoregressive model( MSVAR) can be done,which shows that the effects of expansion and contraction of the Fed’s balance sheet could be transmitted to the Chinese economy through the four channels of interest rate,asset restructuring,exchange rate and liquidity. In different stages of the global financial cycle,this effect is heterogeneous: the exchange rate channel plays a role in all phases of the financial cycle while the impact in the boom period is greater than that in the bust period;the interest rate channel,the asset restructuring channel and the liquidity channel all play their roles in the global financial cycles during the boom period and the bust period;they are not significant in the recovery period. The heterogeneity of spillover effects increases the difficulty for the central bank to prevent external shocks from the U. S. Accordingly,this paper proposes the policy strategies including managing the forward-looking economic variables,strengthening channel supervision and domestical economic fundamentals.

关 键 词：资产负债表效应 全球金融周期 溢出渠道异质性 马尔科夫区制转换模型 

分 类 号：F827.12[经济管理—财政学] F124F831