货币政策外溢与中国宏观政策选择  

Monetary Policy Spillovers and China’s Macro Policy Choice

作　　者：梅冬州[1] 张咪 MEI Dongzhou;ZHANG Mi(School of International Trade and Economics,Central University of Finance and Economics)

机构地区：[1]中央财经大学国际经济与贸易学院

出　　处：《数量经济技术经济研究》2024年第1期25-46,共22页Journal of Quantitative & Technological Economics

基　　金：国家社会科学基金重大项目(22&ZD131);国家自然科学基金面上项目(72073149)的资助。

摘　　要：中国作为全球第二大经济体,其货币政策的外溢效应也在不断显现。中国在影响全球经济的同时,必然也会受到货币政策外溢的回溢效应。在此背景下,中国的宏观政策将会如何影响国内外的福利?中国宏观政策又该如何选择?为回答这些问题,本文构建了开放经济下的DSGE模型,数值模拟了中国货币政策的全球外溢路径,并通过反事实分析发现,中国从国外进口的比例以及国内金融市场摩擦程度会显著影响外溢效应,而中国的资本管制程度对外溢效应没有明显影响。本文进一步发现,在考虑中国货币政策的外溢效应后,中国选择相对稳定的汇率制度或使用逆周期宏观审慎政策均能有效改善中国和全球的福利,并且搭配使用两种政策会产生更好的效果。最后,本文基于2010~2018年全球50个国家和地区的面板数据展开实证分析,为理论模型结论提供经验证据。As the world’s second-largest economy,China has witnessed a significant enhancement in its comprehensive national strength and a steady rise in international influence.Moreover,China’s monetary policy spillovers are becoming increasingly evident.Given China’s deep integration into the global economy,these spillovers are also likely to have backward spillovers.When the world is impacted by China’s macro policies,it will in turn affect China’s macro economy.However,the literature on China’s macro policy choice often overlooks China’s monetary policy spillovers.How can we re-examine the impacts of China’s macro policy from a global perspective by fully considering its monetary policy spillovers?Is there an optimal policy that maximizes domestic welfare while reducing negative spillovers?In this study,we first construct a dynamic stochastic general equilibrium model in an open economy,considering economies other than China as a whole and capturing the trade structure and financial market characteristics between China and the world.Using Chinese and global economic data,parameters in the model are calibrated or estimated using the Bayesian method.Then,counterfactual analysis is carried out to explore the influencing factors and heterogeneity of China’s monetary policy spillovers.Second,we establish a welfare loss function to conduct welfare analysis and discuss the optimal macroeconomic policy under China’s monetary policy spillovers.Finally,we investigate the impacts of the exchange rate system choice and the countercyclical macroprudential policy on China’s monetary policy spillovers based on panel data on 50 countries and regions from 2010 to 2018.To overcome the endogeneity problem,we use the high-frequency change of asset prices in the financial market as an instrumental variable for China’s monetary policy shock in a two-stage least squares regression.The results reveal that,based on the counterfactual analysis,the proportion of China’s imports from abroad and friction in the domestic f

关 键 词：货币政策外溢 汇率制度选择 宏观审慎监管 福利损失 

分 类 号：F821.0[经济管理—财政学]