中国与美国货币政策外溢的非对称性——理论建模与实证分析  

Asymmetric Spillovers of Monetary Policy between China and the U.S.——Empirical Evidence and Theoretical Model

作　　者：梅冬州[1] 张咪 MEI Dong-zhou;ZHANG Mi(School of International Trade and Economics,Central University of Finance and Economics)

机构地区：[1]中央财经大学国际经济与贸易学院

出　　处：《中国工业经济》2023年第2期17-35,共19页China Industrial Economics

基　　金：国家社会科学基金重大项目“防范化解房价波动引发的经济金融风险研究”(批准号22&ZD131);国家自然科学基金面上项目“房价调控、地方政府债务与系统性金融风险”(批准号72073149)。

摘　　要：中国与美国货币政策外溢效应是否存在差异?作用渠道是否不同?为了回答这些问题,本文建立了一个SVAR模型,同时纳入两国宏观经济金融变量,实证检验了中国和美国货币政策的相互溢出效应。研究发现,两国货币政策的外溢存在明显的非对称性。进一步地,本文充分考虑两国贸易结构、资本管制程度和金融市场摩擦程度的差异,构建了一个包含金融摩擦的两国DSGE模型,探讨非对称性的内在逻辑。具体而言,中国货币政策的贸易渠道溢出效应更为明显,即中国提高利率后,国内经济活动收缩,投资和产出下降,进而导致中国从美国的投资品进口下降,使得美国的产出下降;而美国货币政策的金融渠道溢出效应更为明显,即美国提高利率后,资本流出中国,进而导致中国企业融资成本上升,企业净值下降,在金融加速器作用下,企业外部融资风险溢价进一步上升,从而加剧中国产出下滑。在当前中美货币政策分化的背景下,本文研究旨在厘清两国货币政策的跨国传导机制,为实现中国经济平稳增长提供政策启示。As the world’s second-largest economy and largest trading nation,China has witnessed a gradual increase in economic strength and international influence. Meanwhile,the spillovers of China’s monetary policy have become more and more important. Existing literature focuses on the spillovers of U.S. monetary policy,while ignoring analysis on the spillovers of China’s monetary policy and comparison of monetary policy spillovers between China and the U. S. Given differences in the development of two countries’ trade and finance,are spillovers and transmission channels of their monetary policies different?This paper investigates the mutual spillover effects of monetary policies between China and the U.S.in a structural vector autoregressive model with economic and financial variables from both two countries.In particular,to characterize different China’s monetary policy shocks and ensure the exogeneity,this paper uses an instrumental variable constructed by high-frequency changes in financial assets prices over a narrow window around monetary policy adjustment. Empirical results show that there is an obvious asymmetry in spillovers between the two countries. China’s monetary policy mainly affects U. S. trade variables,while the U. S. monetary policy not only affects China’s trade variables,but also has a significant impact on financial variables. To uncover the reason,this paper establishes a two-country dynamic stochastic general equilibrium model with financial frictions. In the model,we introduce bilateral trade and financial linkages to capture the mutual interaction between the two countries. After estimating parameters based on actual data,we conduct numerical simulation and counterfactual analysis.Impulse response analysis and channel tests show that,for China’s monetary policy,spillovers from the trade channel are more significant. A rise in China’s interest rate leads to the contraction in domestic economic activity and,in turn,results in a decrease in China’s import of investment goods from

关 键 词：货币政策外溢 非对称性 贸易渠道 金融渠道 国际政策协调 

分 类 号：F123[经济管理—世界经济]