主要经济体货币政策选择及溢出效应研究——基于地缘政治风险视角  

Monetary Policy Choices and Spillover Effects of Major Economies:A Geopolitical Risk Perspective

作　　者：高一铭 相冰璇 GAO Yiming;XIANG Bingxuan(School of Business,Xiangtan University)

机构地区：[1]湘潭大学商学院

出　　处：《金融经济》2024年第11期3-21,共19页Finance Economy

基　　金：湖南省教育厅科学研究青年项目“复杂网络视域下区域金融风险多维测度与监测预警研究”(21B0107);湖南省社会科学基金青年项目“数字经济时代湖南经济高质量发展多维实时统计监测研究”(19YBQ097);中国博士后科学基金面上项目“网络风险传染视角下我国区域金融压力指数多维测度与实时监测”(2021M692706)。

摘　　要：地缘政治风险不仅加剧了全球和地区经济增长的不确定性,也对本国央行平衡国内外经济环境,对冲他国货币政策溢出冲击并最终实现本国货币政策目标带来了较多挑战,增加了跨周期货币政策决策的难度。本文基于地缘政治风险视角,利用2000—2023年季度数据,首先使用TVP-SV-SVAR模型分析地缘政治风险对主要经济体货币政策决策的影响,然后以地缘政治风险指数为条件变量构建PCHVARX模型,分析不同地缘政治风险水平下主要经济体的价格型和数量型货币政策跨国溢出效应特征。研究发现,各国中央银行货币政策对地缘政治风险的反应近年来呈上升趋势;相较于发达国家,新兴市场国家的货币政策对地缘政治风险具有更强的反应力度;不同经济体中央银行应对地缘政治风险所使用的货币政策工具存在差异,发达国家以价格型工具为主、数量型工具为辅,而新兴市场国家则以数量型工具为主、价格型工具为辅;地缘政治风险水平越高的经济体,他国货币政策对其溢出效应越强,导致货币政策内外平衡难度越大。Geopolitical risks not only heighten the uncertainty of global and regional economic growth but also pose significant challenges for central banks in balancing domestic and international economic conditions,mitigating the spillover effects of other countries'monetary policies,and ultimately achieving their own monetary policy objectives.This increases the complexity of cross-cycle monetary policy decision-making.From the perspective of geopolitical risk,this paper utilizes quarterly data from 2000 to 2023 to first analyze the impact of geopolitical risk on the monetary policy decisions of major economies using the Time-Varying Parameter Stochastic Volatility Structural Vector Autoregression(TVP-SV-SVAR)model.Subsequently,it constructs a Panel Conditional Heterogeneous Vector Autoregression with Exogenous Variables(PCHVARX)model with the geopolitical risk index as a conditional variable to examine the cross-border spillover effects of price-based and quantity-based monetary policies under different levels of geopolitical risk.The study finds that,central banks'responses to geopolitical risks have shown an upward trend in recent years.Compared to developed countries,emerging economies exhibit a stronger monetary policy response to geopolitical risks.The choice of monetary policy tools varies across economies,developed countries primarily rely on price-based tools with quantity-based tools as supplementary measures,while emerging economies prioritize quantity-based tools with price-based tools as secondary options.Economies with higher levels of geopolitical risk experience stronger spillover effects from other countries'monetary policies,making it more challenging to maintain internal and external monetary policy balance.

关 键 词：地缘政治风险 货币政策 溢出效应 TVP-SV-SVAR模型 PCHVARX模型 

分 类 号：F823[经济管理—财政学]