国内国际双循环动态宏观经济研究——基于中国、美国、日本及欧盟的时变溢出及动态经济网络视角  

Analysis on Macroeconomic Dynamic Transmission of Domestic and International Dual Cycles of China:A Perspective Based on Time-varying Spillover and the Dynamic Economic Network of China,the United States,Japan and the European Union

作　　者：牛晓健[1] 朱俊福 Niu Xiaojian;Zhu Junfu

机构地区：[1]复旦大学经济学院国际金融系

出　　处：《统计研究》2024年第5期75-85,共11页Statistical Research

基　　金：国家自然科学基金面上项目“流动性压力、信息交互与价格联动——基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(71873039);国家自然科学基金面上项目“基于耦合网络的‘企业–银行’系统性风险的传播机制及控制策略研究”(71573051)。

摘　　要：厘清国内外的宏观经济运行特征,对于制定实施加快构建新发展格局政策措施具有重要意义。为此,本文采用TVP-VAR模型的广义方差分解刻画国内外宏观经济变量间的动态关联关系,并基于这一关系构建国内外宏观经济动态网络。研究结果表明,进出口及汇率能够较大程度对经济网络产生溢出,而M2、利率和贷款则主要受到其他宏观变量的影响。我国宏观经济变量受国际金融及贸易的影响程度较大,美国对我国的净溢出总体上最强。从国内大循环的动态经济网络视角看,现阶段网络内重要的经济变量逐渐演化为固定资产投资、工业增加值和出口。从国内国际双循环的动态经济网络视角看,2011年以前,网络内重要的变量主要为国外宏观经济变量;从2011年至2021年底,网络内重要的变量逐步演化为固定资产投资、消费和工业增加值等国内宏观经济变量。The clarification of the macroeconomic operation at home and abroad has significant implications for the formation of a new development pattern with the domestic circulation as the mainstay and the domestic and international dual circulation promoting each other.This article adopts the generalized variance decomposition of the TVP-VAR model to characterize the dynamic correlation between macroeconomic indicators at home and abroad,and based on this relationship,constructs a dynamic network of macroeconomic indicators at home and abroad.The research results show that,from a domestic perspective,imports,exports and exchange rates can affect the economic network to a large extent,while M2,interest rates and loans are mainly affected by other macro indicators.At home and abroad,China is more affected by foreign finance and trade channels.The United States has the strongest net spillover to China.From the perspective of the dynamic network of domestic circulation,the important economic variables in the network at this stage have gradually evolved into fixed assets investment,industrial added value and exports.From the perspective of the dynamic network of domestic and international dual circulation,before 2011,the important variables in the network were mainly foreign macroeconomic variables;From 2011 to the end of the 2021,important variables in the network will gradually evolve into domestic macroeconomic variables such as fixed assets investment,consumption and industrial added value.

关 键 词：国内国际双循环 经济动态互动 经济网络 时变溢出 传播动力学 

分 类 号：F830.91[经济管理—金融学]