本文選題：逆周期貨幣政策　切入點(diǎn)：溢出效應(yīng)　出處：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年11月到2013年12月,為了刺激次貸危機(jī)爆發(fā)后低迷的美國經(jīng)濟(jì),美聯(lián)儲(chǔ)先后通過四輪量化寬松政策,在低利率的基礎(chǔ)上主動(dòng)釋放流動(dòng)性,美國經(jīng)濟(jì)因此開始緩慢復(fù)蘇。2013年12月19日,因?yàn)槊绹?jīng)濟(jì)復(fù)蘇跡象明顯,美聯(lián)儲(chǔ)宣布將逐步壓縮債券購買計(jì)劃規(guī)模,美國貨幣政策開始轉(zhuǎn)向。由此觀之,美國的貨幣政策操控帶有明顯逆經(jīng)濟(jì)周期風(fēng)向的特征。在中美貿(mào)易和金融往來日益密切的大背景下,研究美國逆周期貨幣政策的溢出效應(yīng)及對中國經(jīng)濟(jì)的影響有助于風(fēng)險(xiǎn)預(yù)防和政策制定。文章從理論和實(shí)證兩個(gè)方面對美國逆周期貨幣政策的溢出效應(yīng)及對中國經(jīng)濟(jì)的影響進(jìn)行了綜合分析。理論研究方面,介紹了蒙代爾弗萊明(M-F)模型、新開放宏觀經(jīng)濟(jì)學(xué)(NOEM)模型以及DSGE模型的理論基礎(chǔ),在隨后的實(shí)證和政策結(jié)論方面是基于這些理論基礎(chǔ)的；實(shí)證研究方面,一是運(yùn)用多元GARCH模型對美國量化寬松貨幣政策環(huán)境下,中美資產(chǎn)價(jià)格波動(dòng)相關(guān)性進(jìn)行實(shí)證分析,根據(jù)相關(guān)系數(shù)圖指出：在量化寬松貨幣環(huán)境下,中美資產(chǎn)價(jià)格有著正向的波動(dòng)溢出效應(yīng)；二是建立開放經(jīng)濟(jì)粘性價(jià)格兩國DSGE模型,引入美國貨幣供應(yīng)量的外部沖擊,通過隨機(jī)模擬計(jì)算得到經(jīng)濟(jì)的動(dòng)態(tài)沖擊響應(yīng)曲線.實(shí)證結(jié)果是：美國貨幣供應(yīng)量正向沖擊下,對中國總產(chǎn)出水平和物價(jià)水平是正效應(yīng),同時(shí)會(huì)在短期會(huì)導(dǎo)致人民幣升值和貿(mào)易條件改善；三是通過建立VAR模型,依據(jù)宏觀經(jīng)濟(jì)數(shù)據(jù),對美國逆周期貨幣政策對中國經(jīng)濟(jì)的影響進(jìn)行宏觀方面實(shí)證研究,求出脈沖響應(yīng)圖和方差分解圖,實(shí)證結(jié)果為：美國退出量化寬松政策有助于緩解通脹壓力,同時(shí)只會(huì)對中國的經(jīng)濟(jì)發(fā)展產(chǎn)生輕微的不利影響。最后,并針對可能帶來的溢出效應(yīng),提出政策建議。
[Abstract]:From November 2008 to December 2013, in order to stimulate the US economy, which was depressed after the outbreak of the subprime mortgage crisis, the Federal Reserve took the initiative to release liquidity on the basis of low interest rates through four rounds of quantitative easing. The U.S. economy has thus begun to recover slowly. On December 19th 2013, when the Federal Reserve announced that it would gradually reduce the size of its bond-buying program because of the clear signs of recovery in the United States, U.S. monetary policy began to shift. Monetary policy manipulation in the United States is characterized by a marked reversal of the economic cycle. Against the backdrop of growing trade and financial ties between China and the United States, To study the spillover effect of American countercyclical monetary policy and its impact on China's economy is helpful to risk prevention and policy making. This paper studies the spillover effect of US countercyclical monetary policy from both theoretical and empirical aspects and its impact on China's economy. Comprehensive analysis of the impact of the economy. Theoretical research, This paper introduces the theoretical basis of the Mundell Flemming model, the neo-open macroeconomics model and the DSGE model, which are based on these theoretical foundations in the following empirical and policy conclusions. The first is to make an empirical analysis on the correlation of asset price volatility between China and the United States in the context of quantitative easing monetary policy by using the multivariate GARCH model. According to the correlation coefficient diagram, it is pointed out that in the context of quantitative easing money, Asset prices in China and the United States have positive volatility spillover effects. Second, the DSGE model of open economy viscous price is established to introduce the external impact of the US money supply. The dynamic shock response curve of the economy is obtained by stochastic simulation. The empirical results are as follows: under the positive impact of the American money supply, the positive effect on the total output level and price level of China is positive. At the same time, it will lead to the appreciation of RMB and the improvement of terms of trade in the short term. Thirdly, through the establishment of VAR model, according to macroeconomic data, an empirical study on the impact of countercyclical monetary policy on China's economy in the United States is carried out. The impulse response diagram and variance decomposition diagram are obtained. The empirical results are as follows: the withdrawal of the quantitative easing policy from the United States will help alleviate inflationary pressures and will only have a slight adverse impact on China's economic development. And in view of the possible spillover effect, policy recommendations are put forward.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F827.12;F124

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