美联储加息、跨境资本流动风险与“双支柱”调控  

Interest Rate Hike Cycle,Cross-border Capital Flow Risk and"Dual pillar"Regulation

作　　者：胡小文[1] HU Xiaowen

机构地区：[1]安徽师范大学经济管理学院

出　　处：《世界经济研究》2023年第5期76-90,M0003,M0004,共17页World Economy Studies

基　　金：国家社会科学基金重点项目“防范化解经济金融领域风险研究”(项目编号:22AZD040);国家自然科学基金面上项目“流动性囤积视角下的货币政策传导问题:理论、实证与政策研究”(项目编号:71973035)。

摘　　要：在当前美联储加息周期冲击下,跨境资本流动风险和汇率波动不确定性明显增强,亟需加强政策监管。文章构建一个包含跨境资本流动审慎监管的动态随机一般均衡模型,系统研究美联储加息造成的跨境资本流动风险,并深入分析跨境资本流动的“双支柱”政策应对效果。结果显示:第一,美联储加息产生跨境资本流动风险,导致汇率和资产价格波动加剧,造成经济下行。第二,面对美联储加息,小幅跟进式加息能缓解产出波动,但不能缓解汇率、跨境资本和资产价格等波动,而大幅加息对经济和金融风险的负面影响都较大;“双支柱”政策相比加息政策有明显优势,既能抑制跨境资本流出,又能降低经济波动与金融风险。第三,社会福利损失分析表明,最优的双支柱政策组合是货币政策钉住产出、通胀和汇率波动,宏观审慎政策钉住跨境资本波动;随着宏观审慎政策力度增大,社会福利损失逐渐减小。Under the impact of the current interest rate hike cycle of the Federal Reserve,the risk of cross-border capital flow and the uncertainty of exchange rate fluctuations are enhanced,and it is urgent to strengthen the policy supervision.This paper builds a dynamic stochastic general equilibrium model including prudential supervision of cross-border capital flows,systematically studies the cross-border capital flow risks caused by the impact of the Federal Reserve's interest rate hike,and deeply analyzes the"two-pillar"policy response effect of crossborder capital flows.The results show that,first,the interest rate hike of the Federal Reserve will generate cross-border capital flow risks,leading to increased exchange rate and asset price volatility,resulting in economic downturn.Second,in the face of the Fed's interest rate hike,a small follow-up interest rate hike can alleviate output fluctuations,but cannot alleviate exchange rate,cross-border capital and asset price fluctuations;and a sharp rise in interest rates would have a greater negative impact on both economic and financial risks.Third,the two-pillar policy has obvious advantages in responding to the interest rate hike of the Federal Reserve,which can restrain cross-border capital outflow and reduce economic fluctuations and financial risks.Forth the analysis of social welfare loss shows that the optimal two-pillar policy mix is that the monetary policy is targeted at output,inflation and exchange rate fluctuations,and the macro-prudential policy is targeted at cross-border capital fluctuations.With the increase of macro-prudential policies,the loss of social welfare gradually decreases.

关 键 词：美联储加息 跨境资本流动风险 双支柱调控 

分 类 号：F827.12[经济管理—财政学] F831.6F113