外部不确定性冲击的来源甄别及其对中国货币政策有效性的影响  

Screening Sources of External Uncertainty Shocks and Their Impacts on the Effectiveness of China's Monetary Policy

作　　者：邓创[1] 吴健[2] 王哲[2] DENG Chuang;WU Jian;WANG Zhe(Centre for Quantitative Economics,Jilin University;School of Business and Management,Jilin University)

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：《数量经济技术经济研究》2023年第7期5-26,共22页Journal of Quantitative & Technological Economics

基　　金：教育部人文社会科学重点研究基地重大项目(22JJD790066);国家自然科学基金面上项目(71873056);吉林省教育厅科学研究重大项目(JJKH20220938SK);中央高校基本科研业务费专项资助计划(2022CXTD25)的联合资助。

摘　　要：明晰外部不确定性冲击的驱动因素及其对货币政策效果的作用机理,对全面推进中国高水平对外开放进程、确保中国经济安全和可持续发展具有重要政策意义。本文采用高维动态因子模型和两步加权法分离测度中国外部不确定性冲击,并动态甄别冲击来源,通过拓展经典的蒙代尔-弗莱明模型,从理论层面解析外部不确定性因素对数量型与价格型货币政策有效性的影响机制,并在实证检验其传导渠道的基础上进一步考察外部不确定性尾部冲击对中国货币政策效果的非线性影响特征。研究发现:全球金融危机和突发公共卫生事件等极端事件显著推升中国外部不确定性;随着中国对外开放水平的不断提高,更需警惕来自国外的消费、债券市场和银行信贷领域的不确定性冲击;外部不确定性会藉由“避险效应渠道”“利率渠道”和“汇率渠道”影响货币政策调控效果;相较于数量型货币政策,价格型货币政策受外部不确定性,特别是外部金融不确定性的负面影响更为明显。本文的研究为健全极端外部事件冲击下的货币政策调控机制、构建更高水平开放型经济新体制提供了理论依据和经验支撑。The report of the 20th National Congress of the CPC emphasized that“we will adhere to a high level of opening up to the outside world and accelerate the construction of a new development pattern with a large domestic cycle as the mainstay and dual domestic and international cycles promoting each other.”The solid promotion of the high-level opening-up strategy requires not only the coordinated application and systematic support of the internal policy system but also close attention to the impact of external environmental changes.We should do a good job in identifying and warning against external uncertainties,deconstructing sources,responding to policies,and effectively building a policy“firewall”mechanism to prevent major external imported risks,which will not only help the process of promoting high-level opening-up but also help improve China's macroeconomic modernization and governance ability as well as maintain economic and financial security and stability.This study separately measures external uncertainty shocks and dynamically screens the sources of shocks.By extending the classical Mundell-Fleming model,we analyze the theoretical mechanism of external uncertainty factors on the effectiveness of monetary policy and conduct an empirical test.Then,we further examine the nonlinear characteristics of the impact of external uncertainty tail shocks on the effectiveness of monetary policy.The study finds that extreme events push up China's external uncertainty;it is more important to be alert to uncertainty shocks from foreign consumption,bond markets,and bank credit.External uncertainty can affect the effectiveness of monetary policy regulation through the“risk aversion channel,”the“interest rate channel,”and the“exchange rate channel.”The right-tail shocks of external uncertainty weaken the effectiveness of quantitative and price-based monetary policy more significantly.Influenced by external uncertainty,tight interest rate policy may increase the risk of economic stagflation in the short te

关 键 词：外部不确定性 蒙代尔-弗莱明模型 避险情绪 汇率制度 货币政策 

分 类 号：F822[经济管理—财政学]