美国货币政策冲击对我国行业的溢出效应研究——基于生产网络的视角  

The Spillover Effects of US Monetary Policy on the Chinese Industry--From the Perspective of Production Network

作　　者：余静文 沈妤恬 Yu Jingwen;Shen Yutian(Center for Economic Development Research,Wuhan University;Economics and Management School,Wuhan University)

机构地区：[1]武汉大学经济发展研究中心 [2]武汉大学经济与管理学院

出　　处：《国际金融研究》2025年第3期14-26,共13页Studies of International Finance

基　　金：国家自然科学基金面上项目“OFDI生产网络视角下美国货币政策对我国经济的外溢与应对策略研究:理论、实证与数量测度”(72373112);国家社会科学基金重大项目“货币政策分配效应与缩小收入和财富差距的有效路径研究”(20&ZD105)资助。

摘　　要：全球金融一体化背景下,不断细分的全球化产业链分工体系引起金融风险在地域间的扩散。作为全球金融周期的主要驱动因素,美国货币政策冲击对全球金融市场产生明显的外溢效应。本文考察美国货币政策冲击下沪深A股上市企业中39个行业的股票市场表现,分析冲击对我国各行业的总体效应,并基于生产网络视角使用空间自回归模型将美国货币政策冲击的总体效应分解为直接效应和生产网络效应。研究发现:我国股市对美国货币政策冲击反应的40%以上来源于生产网络效应;不同行业在生产网络传导链条中的表现呈现异质性,这种异质性可以由行业参与国际生产网络的深度解释;微观层面,拥有美国子公司的中国企业一定程度上充当了美国货币政策冲击向国内传导的纽带。本研究为外部冲击的生产网络传导渠道提供了新的经验证据。The growing specialization of the global industrial chain system has caused the financial risks to spread across regions.US monetary policy shocks have created significant spillover effects on various countries around the world.This article measures the overall effect of US monetary policy shocks on industries in China based on the stock market data.From the perspective of production networks,a spatial weight matrix is constructed using China's official input-output table,and the SAR model is used to decompose the overall effect of monetary policy into direct and network effects.Research has found that over 40% of the overall response of China's stock market to US monetary policy shocks comes from production network effects.The performance of different industries within the production network transmission chain exhibits heterogeneity,which can be attributed to the varying degrees of industry participation in international production networks.At the micro level,Chinese companies with US subsidiaries plays a noticeable role in linking US monetary policy shocks to the domestic market.This study provides valuable empirical evidence on the transmission channels of production networks,as well as useful insights formonetary policy authorities.

关 键 词：美国货币政策 生产网络 跨国公司 空间自回归模型 

分 类 号：F832[经济管理—金融学]