差异化利率溢出效应与经济传导机制研究  

Research on Differentiated Interest Rate Spillover Effect and Economic Linkage Mechanism

作　　者：张炜 许娜 ZHANG Wei;XU Na

机构地区：[1]天津商业大学

出　　处：《价格理论与实践》2023年第7期168-172,212,共6页Price:Theory & Practice

基　　金：天津市哲学社会科学重点规划项目(TJLJ20-003)“货币政策传导机制有效性与调控方式转型”的资助。

摘　　要：在全球通胀压力影响下,发达经济体不断加息,与我国稳健的货币政策相较表现出差异化特征。本文运用2015-2021年月度金融数据,通过M-F模型拓展剖析美联储差异化利率的溢出路径,同时采用时变参数向量自回归(TVP-VAR)模型,衡量不同货币政策传导渠道下各时间节点与滞后期内美联储加息对全球乃至我国经济的影响。研究表明:美联储加息通过利率渠道对我国经济产出造成了一定的滞后冲击,但影响有限;汇率渠道下美国加息对于我国各项经济指标的作用效果并不显著;资产价格渠道下经济变量的浮动情况与其传导渠道基本相符。基于此,从完善货币政策工具、健全货币金融市场预警与监管体系等方面提出政策建议。Under the influence of global inflationary pressure, developed economies are constantly raising interest rates, exhibiting a differentiated characteristic compared to China 's prudent monetary policy. This article uses financial data from 2015 to 2021 to expand the analysis of the spillover path of the Federal Reserve 's differentiated interest rates through the M-F model. At the same time, the time-vary-ing parameter vector autoregressive(TVP-VAR) model is used to measure the impact of the Federal Reserve 's interest rate hike on the global and even Chinese economy at different time nodes and lag periods under different monetary policy transmission channels. Research shows that the Federal Reserve's interest rate hike has had a certain lag impact on China 's economic output through the interest rate channel, but the impact is limited;The effect of US interest rate hikes on various economic indicators in China is not significant under the ex-change rate channel;The fluctuation of economic variables under the asset price channel is basically consistent with its transmission channel.Based on this, policy recommendations are proposed from the aspects of improving monetary policy tools and improving the early warning and regulatory system of the monetary and financial markets.

关 键 词：美联储加息 利率溢出效应 M-F模型 TVP-VAR 

分 类 号：F827.12[经济管理—财政学] F124