浮动汇率制下货币政策独立性差异——基于外汇市场缓冲器视角的分析  

Differences in Monetary Policy Independence under Floating Exchange Rate Regime——Analysis Based on the Perspective of Exchange Market Buffer

作　　者：彭红枫 张榛岂 梁子敏 王雪童 Peng Hongfeng;Zhang Zhenqi;Liang Zimin;Wang Xuetong(School of Finance,Shandong University of Economics and Finance)

机构地区：[1]山东财经大学金融学院

出　　处：《国际金融研究》2023年第9期64-75,共12页Studies of International Finance

基　　金：国家自然科学基金项目“国际金融周期、跨境资本流动及资本账户开放政策动态调整:理论、建模与实证”(72273073);国家社会科学基金重大项目“高水平开放背景下全球金融周期冲击与系统性金融风险防控研究”(22&ZD119)资助。

摘　　要：全球金融周期增大了跨境资本流动的同向性,使得中心经济体货币政策溢出对外围经济体造成更大冲击,而冲击损害了部分浮动汇率制经济体的货币政策独立性。基于2004—2019年35个经济体的数据,本文从外汇市场缓冲器视角考察了汇率制度在跨境资本流动冲击传导中发挥的作用。在有效测度全球金融周期的基础上,本文发现中心经济体货币政策存在一定的溢出性,且浮动汇率制的“稳定器”功能在不同经济体间存在差异。为进一步考察浮动汇率制下各经济体货币政策独立性差异,本文从汇率、官方储备、外债三个层面构建了外汇市场缓冲器指标。研究结果表明:在外汇市场缓冲器作用较强的经济体中,浮动汇率制有助于隔绝中心经济体的货币政策冲击,即该经济体具有较强货币政策独立性;而在外汇市场缓冲器作用较弱的经济体中,浮动汇率制的“稳定器”功能丧失。进一步研究表明:资本管制程度、全球风险水平、美联储货币政策导向也会影响外汇市场缓冲器对浮动汇率制经济体货币政策独立性的调节作用。The global financial cycle has increased the co-movement of cross-border capital flows,heightening the cen⁃tral economy′s influence of monetary policy spillovers on the peripheral economies,resulting in the damage to the monetary policy independence of some floating exchange rate economies.It is of great theoretical and practical significance to explore the reasons for the differences in the independence of monetary policy in floating exchange rate economies.Based on the data of 35 economies from 2004 to 2019,this paper examines the role of exchange rate regime in the trans⁃mission of cross-border capital flows from the perspective of exchange market buffer.On the basis of effectively measuring the global financial cycle,this paper finds that there is a certain monetary policy spillover in central economy,and the“stabilizer”function of floating exchange rate regime is different among different economies.To understand the issue deeply,this paper con⁃structs the financial market resilience index from three aspects:exchange rate,official reserve and external debt to describe the ability of marginal economies to absorb the impact of cross-border capital flows.The results show that in economies with strong foreign exchange market buffers,the floating exchange rate regime helps to isolate the monetary policy shocks from the central economy.In other words,the economy has strong monetary policy indepen⁃dence.In economies with weaker foreign exchange market buffers,the“stabilizer”function of floating exchange rate regimes is diluted.Further research shows that the degree of capital control,the level of global risk and the Fed′s monetary policy ori⁃entation will also affect the moderating effect of the foreign exchange market buffer on the monetary policy independence of floating exchange rate economies.Finally,this paper puts forward corresponding policy recommendations from two levels.Firstly,the economies should ac⁃tively participate in global financial governance and reasonably control the scale

关 键 词：汇率制度 全球金融周期 外汇市场缓冲器 货币政策 

分 类 号：F821[经济管理—财政学]