外部经济、金融不确定性会降低中国货币政策独立性吗  

Will External Economy and Financial Uncertainties Weaken China's Monetary Policy Independence?

作　　者：邓创[1] 吴健[2] 杨晨龙 Deng Chuang;Wu Jian;Yang Chenlong

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学与管理学院

出　　处：《财经科学》2023年第6期1-15,共15页Finance & Economics

基　　金：教育部人文社会科学重点研究基地重大项目“跨周期和逆周期结合下的金融安全维护研究”(22JJD790066);国家自然科学基金面上项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(71873056);吉林省教育厅科学研究重大项目“‘双循环’新格局下吉林省经济下行风险的定量评估与应对策略”(JJKH20220938SK);中央高校基本科研业务费专项资助计划“坚持共同富裕方向的中国经济高质量发展现代化道路研究”(2022CXTD25)的资助。

摘　　要：本文构建111维中国外部形势指标体系,基于高维动态因子模型和两步加权法合成中国外部经济与金融不确定性指数,在构建外部不确定性与货币政策独立性关联的理论框架基础上,借鉴LSTVAR和TVP-VAR模型分别从避险情绪、汇率稳定度与资本开放度层面,实证考察外部经济和金融不确定性对中国数量型和价格型货币政策独立性的影响机制。研究发现,第一,外部经济与金融不确定性的相对关系与冲击来源密切相关,在2011年之前,全球金融子市场波动使得外部金融不确定性明显大于外部经济不确定性,而在2011年之后,全球实体经济不确定性因素使得两种外部不确定性大小关系出现反转。第二,外部不确定性会提升全球避险情绪,当全球避险情绪、汇率稳定度和资本账户开放程度较高时,外部不确定性会更为显著地削弱数量型与价格型货币政策独立性,其中外部金融不确定性对货币政策独立性的短期负面冲击更大。本研究为防范外部不确定性冲击、提升货币政策独立性、维护经济全局稳定提供了有益的政策启示。This paper constructs a 111-dimensional indicator system of China's external situation,and synthesizes the external economic and financial uncertainty index based on the high-dimensional dynamic factor model and two-step weighting method.On the basis of building a theoretical framework for the relationship between external uncertainty and monetary policy independence,LSTVAR and TVP-VAR models are used for reference from the risk aversion,exchange rate stability and capital openness levels respectively,This paper empirically examines the mechanisms of external economic and financial uncertainties on the independence of China's quantitative and price based monetary policies.The research finds that:Firstly,the relative relationship between the external economy and financial uncertainty is closely related to the source of impact.Before 2011,the volatility of the global financial sub market made the external financial uncertainty significantly greater than the external economic uncertainty.After 2011,the uncertainty factors of the global real economy reversed the relationship between the magnitude of the two external uncertainties.Secondly,External uncertainty will enhance global risk aversion.When global risk aversion,exchange rate stability and capital account openness are high,external uncertainty will significantly weaken the independence of quantitative and price-based monetary policy,among which external financial uncertainty has a greater short-term negative impact on the independence of monetary policy.The research of this paper provides beneficial policy enlightenment for preventing external uncertainty shocks,enhancing the independence of monetary policy,and maintaining the overall stability of the economy.

关 键 词：外部不确定性 避险情绪 汇率稳定度 资本账户开放 货币政策独立性 

分 类 号：F830[经济管理—金融学]