美国货币政策对我国系统性金融风险的溢出效应——兼论重大突发事件冲击的影响  

The Spillover Effect of the U.S.Monetary Policy on China’s Systemic Financial Risk——Also on the Impact of Major Emergencies

作　　者：沈悦[1] 孟万山 龙腾 张贝宁 Shen Yue;Meng Wanshan;Long Teng;Zhang Beining

机构地区：[1]西安交通大学经济与金融学院,西安710049 [2]云南大学经济学院,昆明650500

出　　处：《经济问题探索》2023年第12期160-174,共15页Inquiry Into Economic Issues

基　　金：国家社科基金重大项目“防止资本无序扩张风险研究”(22ZDA053),项目负责人:沈悦。

摘　　要：本文对我国系统性金融风险进行动态测度,量化分析美国货币政策对我国系统性金融风险的溢出效应,以及重大突发事件冲击的影响。结果表明,美国货币政策不论是价格型工具还是数量型工具,均会对我国系统性金融风险产生负面溢出效应;相比于平稳时期,美国货币政策在重大突发事件发生时期对我国系统性金融风险的负面溢出效应更大,金融危机、新冠疫情等重大突发事件增加了金融体系的脆弱性;美国价格型货币政策在2015年股灾期间对我国系统性金融风险的冲击力度最大,而数量型货币政策在新冠疫情时期的冲击力度最大。新形势下,我国政府应将美国货币政策对我国系统性金融风险的外溢效应纳入风险监测体系,有力推进防范化解系统性金融风险长效体制机制建设,实施差异化管理防控手段,尽可能降低不同阶段美国货币政策的外溢效应。This paper provides a dynamic measure of systemic financial risk in China and analyzes the spillover effects of the U.S.monetary policy on China's systemic financial risk and the impact of major unexpected events from the dual perspective of aggregate and point-in-time differences.The results show that both the price instrument and the quantity instrument of the U.S.monetary policy have negative spillover effects on China's systemic financial risk;Compared with the stable periods, the negative spillover effects are greater during periods of major emergencies, which means the financial crisis and COVID-19 epidemic increased the vulnerability of financial system;The price-based monetary policy had the strongest impact on systemic financial risk during the stock market crash in 2015,while the quantity-based monetary policy had the strongest impact during the COVID-19.Under the new situation, the government should incorporate the spillover effects of the U.S.monetary policy on China's systemic financial risk monitoring system, vigorously promote the establishment of a long-term mechanism for preventing and mitigating systemic financial risk, and implement differentiated management and prevention measures to minimize the spillover effects of the U.S.monetary policy in different periods.

关 键 词：美国货币政策 系统性金融风险 重大突发事件 MI-TVP-SV-FAVAR模型 

分 类 号：F832.0[经济管理—金融学]