美国货币政策对中国投资价格影响的溢出效应——基于超调理论的解析  

Spillover Effects of US Monetary Policy on China's Fixed Asset Investment Prices—An Analysis Based on the Theory of Overshooting

作　　者：韩一卉 逯进[1] 崔鹏[2] HAN Yihui;LU Jin;CUI Peng(Qingdao University,Qingdao 266075,China;Qingdao University of Science&Technology,Qingdao 266061,China)

机构地区：[1]青岛大学,山东青岛266075 [2]青岛科技大学,山东青岛266061

出　　处：《新疆财经》2024年第4期24-36,共13页Finance & Economics of Xinjiang

基　　金：山东省社会科学规划研究项目“普惠金融视角下多层次资本市场发展与小微企业融资困境研究”(21CJJJ18)。

摘　　要：无论是2008年金融危机还是2020年新冠疫情,都对美国经济产生了严重影响。为了应对危机,美国采取了连续且高强度的量化宽松政策。这为美国经济提供了重要支撑,但对全球经济形成了明显冲击,特别是对中国经济稳定增长带来了挑战。文章从理论和实证两个方面讨论美国货币政策对中国投资价格的影响,并引入具有时变特征的TVP-VAR模型检验影响的多重现实作用机制,深入讨论美国货币政策对中国经济的影响。研究结果表明:美国货币政策会直接影响中国固定资产投资价格,也会通过中国股票市场对固定资产投资价格产生间接影响;在间接传导过程中,美国货币政策对中国股票价格的影响存在明显的超调效应,且这种超调效应只存在于短期;机制分析表明,美国货币政策对中国固定资产投资价格的间接影响会受到美国股票市场的调节作用。基于此,今后应审慎管理资本流动,稳步推进人民币国际化进程,增强金融行业的服务能力并加强政策引导,从而有效抵御外部金融风险,妥善应对各类风险挑战。Both the 2008 financial crisis and the 2020 coronavirus pandemic have had a severe impact on the U.S.economy.In response to the crisis,the United States adopted a continuous and high-intensity quantitative easing policy.Although this has produced significant support for its economy,it has had a significant impact on the global economy,especially the stable growth of China’s economy has brought challenges.In view of this,it is of great practical significance to discuss the impact of US monetary policy on China’s fixed asset investment price from both theoretical and empirical aspects,and introduce the time-varying TVP-VAR model to test the multiple realistic mechanisms of the impact,so as to further discuss the impact of US monetary policy on China’s economy.The results show that,first of all,the US monetary policy will directly affect the price of fixed asset investment in China,and indirectly affect the price of fixed asset investment through the Chinese stock market.In the indirect transmission process,the impact of US monetary policy on Chinese stock prices has an obvious overshoot effect,and this overshoot effect only exists in the short term.In addition,the mechanism analysis shows that the indirect impact of US monetary policy on China’s fixed asset investment prices will be moderated by the US stock market.Therefore,it is necessary to prudently manage capital flows,promote the process of RMB internationalization,and enhance the service capacity of the financial industry,so as to effectively resist external financial risks and properly respond to various risks and challenges.

关 键 词：货币政策 固定资产投资价格 股票市场 超调效应 

分 类 号：F821.0[经济管理—财政学] F287