美国货币政策变动对我国跨境资本流动的影响研究——基于MS-VAR模型和事件研究法  

Research on the Impact of U.S.Monetary Policy Changes on China's Cross-border Capital Flows Based on the MS-VAR Model and Event Study Approach

作　　者：钱晓霞 Qian Xiaoxia(Hangzhou Central Sub-branch,the People's Bank of China)

机构地区：[1]中国人民银行杭州中心支行

出　　处：《金融发展评论》2023年第6期1-15,共15页Financial Development Review

摘　　要：经济全球化的不断加快和货币政策的国际传导使得美国等发达经济体货币政策的扩张和收缩备受各界关注。基于此,本文运用MS-VAR模型和事件研究法探讨了美国货币政策变动对我国跨境资本流动的溢出效应和传导渠道,并对比分析美联储2015年和2022年两次加息所产生的不同影响。研究发现:美国货币政策变动对我国跨境资本流动有较强的冲击效应,且会通过利率、汇率和贸易收支变动等渠道产生间接影响。此外,受市场提前消化时间短、加息速度快且幅度大、金融市场开放度提高等因素影响,美联储本轮加息对我国跨境资本的溢出效应要明显强于上一轮。结合分析结果,本文从保持宏观政策定力、完善跨境资本流动管理、深化金融改革开放、加强风险防范四方面提出政策建议。With the accelerating process of economic globalization and the international transmission of monetary policy,the expansion and contraction of monetary policy in developed economies such as the United States have attracted much attention from all walks of life.Based on it,this paper uses MS-VAR model and event study approach to discuss the spillover effect and transmission channels of US monetary policy changes on China's cross-border capital flows,and analyzes the different effects of the Fed's two interest rate hikes in 2015 and 2022.The study finds that the change of US monetary policy have a strong impact on China's cross-border capital flows,and it will have an indirect impact through channels such as interest rate,exchange rate and trade balance changes.In addition,due to factors such as short market digestion time,fast and large interest rate hikes,and increased financial market openness,the spillover effect of the Fed's current round of interest rate hikes on China's cross-border capital flows is significantly stronger than that of the previous round.Based on the analysis results,this paper provides policy recommendations for China to effectively cope with external shocks and improve the management of cross-border capital flows from four aspects:maintaining macro policy determination,improving the prudential supervision framework of cross-border capital flows,deepening financial reform and openness,and coordinating stable growth and risk prevention.

关 键 词：美国货币政策变动 跨境资本流动 MS-VAR模型 事件研究法 

分 类 号：F827.12[经济管理—财政学] F832.6