本文選題：量化寬松貨幣政策 + 溢出效應(yīng)��； 參考：《武漢大學(xué)》2014年博士論文

【摘要】：在全球經(jīng)濟一體化與金融自由化的背景下,國家之間的經(jīng)濟依存度日益提高,一國制定的貨幣政策不僅可以調(diào)節(jié)本國經(jīng)濟的運行,而且還對其他國家的貨幣市場、資本市場、貿(mào)易市場等產(chǎn)生影響,并進一步影響其他國家的產(chǎn)出和通脹等實體經(jīng)濟變量,即產(chǎn)生貨幣政策的溢出效應(yīng)。2008年以來,為應(yīng)對全球性金融危機,以美國為代表的經(jīng)濟大國紛紛出臺一系列非常規(guī)貨幣政策,這些政策在刺激本國經(jīng)濟復(fù)蘇的同時,也會對其他國家和地區(qū)的金融市場、實體經(jīng)濟等產(chǎn)生影響。對經(jīng)濟聯(lián)系密切的國家而言,為避免貨幣政策溢出效應(yīng)的負面影響,需要各國央行在制定貨幣政策時更多考慮對其他國家的影響,加強貨幣政策領(lǐng)域的溝通、磋商和協(xié)調(diào)。針對這些問題,本文就美國貨幣政策對我國溢出效應(yīng)的存在性、量化寬松貨幣政策實施前后美國貨幣政策對中國的溢出效應(yīng)的變化、中美貨幣政策協(xié)調(diào)的必要性、中美貨幣政策協(xié)調(diào)的現(xiàn)實因素與障礙、協(xié)調(diào)模式進行了研究。全文共分七章： 第一章介紹了本文的研究背景與研究意義,并總結(jié)了國內(nèi)外研究現(xiàn)狀。對貨幣政策溢出效應(yīng)的已有研究主要為實證研究,本文總結(jié)了貨幣政策溢出效應(yīng)研究的方法和內(nèi)容,以及量化寬松貨幣政策實施以后貨幣政策溢出效應(yīng)研究的新動向；對貨幣政策協(xié)調(diào)的研究主要是通過理論模型的推導(dǎo)實現(xiàn)的,研究的重點包括國際貨幣政策協(xié)調(diào)的效果、協(xié)調(diào)收益與成本的來源以及增強協(xié)調(diào)效果的途徑等。金融危機爆發(fā)以來,理論界進一步分析了危機對已有協(xié)調(diào)政策的沖擊以及危機中所采取的應(yīng)急性協(xié)調(diào)政策的效果,并探討了金融危機后國際貨幣政策協(xié)調(diào)的方向。本文根據(jù)選題要求,借鑒已有研究的思路和方法,提出了本文的研究內(nèi)容、思路和方法,并提煉出本文對已有研究的補充和發(fā)展,即本文的創(chuàng)新點。 第二章介紹開放經(jīng)濟學(xué)研究的兩個框架,并比較了其在貨幣政策溢出效應(yīng)、貨幣政策協(xié)調(diào)研究上的適用性。本文首先介紹了蒙代爾-弗萊明-多恩布什(M-F-D)研究框架和新開放經(jīng)濟宏觀經(jīng)濟學(xué)(NOEM)框架的基準模型、理論意義。接著,本文介紹了兩種模型分別對貨幣政策溢出效應(yīng)和貨幣政策協(xié)調(diào)的研究的內(nèi)容和特點,比較了兩種框架對兩方面研究的適用性。由于NOEM模型具備較好的微觀基礎(chǔ)、模型變化較為靈活,能很好地模擬的實際經(jīng)濟環(huán)境變動,因此現(xiàn)有貨幣政策溢出效應(yīng)研究較多地采用了NOEM模型,但在分析貨幣政策溢出效應(yīng)的途徑時,由于M-F-D模型所提供的思路更為直接明確,因而也被廣泛使用；但對于貨幣政策協(xié)調(diào)的研究,由于NOEM模型具備完善的微觀基礎(chǔ)和福利分析能力、可用于對特定國家的分析和研究,且具有較強的擴展能力,因而是貨幣政策協(xié)調(diào)研究的主要分析框架。 第三章就美國幣政策對中國溢出效應(yīng)進行了實證檢驗。本文引入了貨幣政策溢出效應(yīng)基準模型,并從模型選取了實證變量、推導(dǎo)了變量之間的相互關(guān)系。實證結(jié)果表明,當(dāng)美國實行擴張型貨幣政策時,對我國產(chǎn)出、通脹均產(chǎn)生正向沖擊。此后,本文根據(jù)文獻總結(jié)結(jié)論和模型推導(dǎo)得到的變量關(guān)系,研究了美國貨幣政策對我國溢出效應(yīng)的途徑,主要為利率和貨幣供應(yīng)量途徑、匯率和國際貿(mào)易途徑、國際投資和資本流動途徑,其中對我國產(chǎn)出的影響主要是通過國際貿(mào)易途徑實現(xiàn)的；而對我國通脹的影響主要是通過利率和貨幣供應(yīng)量途徑實現(xiàn)的。 第四章分析了量化寬松貨幣政策(QE)前后美國貨幣政策對我國溢出效應(yīng)的變化,并解釋了這一變化的原因。對我國產(chǎn)出的脈沖響應(yīng)結(jié)果表明,在QE政策實施前,當(dāng)美聯(lián)儲擴張其總資產(chǎn)規(guī)模時,我國產(chǎn)出先出現(xiàn)下降,長期中超過初始產(chǎn)出水平；而在QE政策實施后,當(dāng)美聯(lián)儲擴張其總資產(chǎn)規(guī)模時,我國產(chǎn)出立刻出現(xiàn)下降,但此后迅速回升并超過原有水平,新的均衡值高于初始產(chǎn)出水平。對我國通貨膨脹的脈沖響應(yīng)結(jié)果表明,QE政策實施前,當(dāng)美聯(lián)儲擴張其總資產(chǎn)規(guī)模時,我國物價出現(xiàn)短時下降,達到最低點后迅速回升,長期中價格遠高于初始水平；而在QE政策實施后,當(dāng)美聯(lián)儲擴張其總資產(chǎn)規(guī)模時,我國價格迅速上升,在第二期達到高點后出現(xiàn)短暫下降,此后迅速回升至新的高點。量化寬松貨幣政策除了第三章所提到的三種途徑外,還通過影響公眾的預(yù)期(尤其是價格預(yù)期)和央行、企業(yè)資產(chǎn)負債表產(chǎn)生溢出效應(yīng)。 第五章從社會福利角度對中美貨幣政策協(xié)調(diào)的必要性進行了研究。本文擴展了新開放宏觀經(jīng)濟學(xué)的新區(qū)域模型,建立了以中美兩國經(jīng)濟為背景的兩國DSGE模型,通過數(shù)值模擬分析了貨幣政策協(xié)調(diào)的潛在福利收益及其影響因素。數(shù)值模擬結(jié)果表明,各情形下實行中美貨幣政策協(xié)調(diào)后,中國福利損失都有所減小、產(chǎn)生正的福利收益,而美國福利損失有所增大、產(chǎn)生負的福利收益。兩國總體福利收益取決于兩國福利收益的相對大小,經(jīng)數(shù)值模擬計算,中美貨幣政策協(xié)調(diào)最大負向總收益為穩(wěn)態(tài)消費的-0.4%,最大正向總收益為穩(wěn)態(tài)消費的0.65%,由于中美貨幣政策協(xié)調(diào)會增大美國福利損失,美國貨幣政策協(xié)調(diào)意愿較弱。 第六章探討了中美貨幣政策協(xié)調(diào)的適用模式。本文總結(jié)了布雷頓森林體系解體以來各國貨幣政策協(xié)調(diào)的實踐其相應(yīng)的特點,繼而介紹了金融危機以來貨幣政策協(xié)調(diào)的舉措和政策效果。在此基礎(chǔ)上,本文總結(jié)了貨幣政策協(xié)調(diào)的內(nèi)容與方式、中美開展貨幣政策協(xié)調(diào)的條件與障礙,并進一步歸納了中美貨幣政策協(xié)調(diào)模式：短期內(nèi),中美應(yīng)采取兼具規(guī)則協(xié)調(diào)和相機協(xié)調(diào)優(yōu)點的混合型貨幣政策協(xié)調(diào)機制,而在長期,中美應(yīng)該就基于超主權(quán)貨幣的中美目標匯率區(qū)協(xié)調(diào)機制進行探索和嘗試。 第七章對全文進行總結(jié),概括了全文文獻總結(jié)、理論推導(dǎo)、實證分析、數(shù)值模擬的結(jié)論,并提出了相應(yīng)的政策建議和未來研究方向。
[Abstract]:Under the background of global economic integration and financial liberalization, the degree of economic dependence between countries is increasing. The monetary policy formulated by one country can not only regulate the operation of its own economy, but also influence the currency market, capital market and trade market of other countries, and further influence the output and inflation of other countries. The spillover effect of the real economy, that is, the spillover effect of monetary policy in.2008, has issued a series of unconventional monetary policies in order to cope with the global financial crisis. These policies, while stimulating the recovery of the country's economy, will also affect the financial market and the real economy of other countries and regions. For countries with close economic ties, in order to avoid the negative effects of monetary policy spillovers, central banks need more consideration of the impact on other countries in formulating monetary policy, strengthen communication, consultation and coordination in the field of monetary policy. In this paper, the existence and quantity of the spillover effect of American monetary policy on China is given. The changes in the spillover effect of American monetary policy on China before and after the implementation of the monetary policy, the necessity of the coordination of monetary policy between China and the United States, the realistic factors and obstacles of the coordination of monetary policy in China and the United States, and the mode of coordination are studied. The full text is divided into seven chapters.
The first chapter introduces the research background and significance of this paper, and summarizes the current research status at home and abroad. The existing research on the spillover effect of monetary policy is mainly empirical research. This paper summarizes the methods and contents of the research on the spillover effect of monetary policy, and the new movement of the research on the spillover effect of the monetary policy after the implementation of the quantitative loose monetary policy. The research mainly focuses on the effect of the coordination of international monetary policy, the source of the coordination of revenue and cost and the way to enhance the coordination effect. Since the outbreak of the financial crisis, the theoretical circle has further analyzed the impact of the crisis on the existing coordination policy and the impact of the crisis and the impact of the crisis on the existing coordinated policies. The effect of the acute coordination policy adopted in the crisis is taken, and the direction of international monetary policy coordination after the financial crisis is discussed. Based on the requirements of the topic and the existing research ideas and methods, this paper puts forward the research contents, ideas and methods of this paper, and extracts the supplement and development of the existing research, that is, the innovation point of this article.
The second chapter introduces the two framework of the study of open economics, and compares its applicability in the study of monetary policy spillover effect and monetary policy coordination. This paper first introduces the reference model of Mundell Fleming Dombush (M-F-D) research framework and the new open economic Macroeconomics (NOEM) framework, and the theoretical significance. This paper introduces the contents and characteristics of the two models for the study of monetary policy spillover effect and monetary policy coordination respectively, and compares the applicability of the two frameworks to the study of the two aspects. Because the NOEM model has a better microcosmic basis, the model changes are more flexible, and the actual economic environment changes can be well simulated, so the existing monetary policy spillovers are spillover. The NOEM model is widely used in the study of effect, but in the analysis of the way of the spillover effect of monetary policy, the ideas provided by the M-F-D model are more direct and therefore widely used, but the research on the coordination of monetary policy can be used for a specific country because the NOEM model has a perfect microcosmic basis and a welfare analysis ability. The analysis and research, and the strong expansion ability, are the main analytical framework of monetary policy coordination research.
The third chapter examines the spillover effect of the American currency policy on China's spillover effect. This paper introduces the benchmark model of the spillover effect of monetary policy, and selects the empirical variables from the model and deduces the relationship between the variables. The empirical results show that when the United States implements the expansionary monetary policy, it has a positive impact on our country's output and inflation. Then, based on the conclusion of the literature and the relationship between the variables derived from the model, this paper studies the approaches to the spillover effect of American monetary policy on China, mainly interest rate and money supply, exchange rate and international trade approach, international investment and capital flow way. Now, the impact on inflation in China is mainly achieved through interest rate and money supply.
The fourth chapter analyzes the changes in the spillover effect of American monetary policy before and after the quantitative easing monetary policy (QE), and explains the reason for this change. The result of the impulse response to our home made shows that, before the implementation of the QE policy, when the Federal Reserve expanded its total assets, I made a decline first and exceeded the initial output of water for a long time. After the implementation of the QE policy, when the Federal Reserve expanded its total assets, I made an immediate decline, but then quickly recovered and exceeded its original level. The new equilibrium value was higher than the initial output level. The impulse response to China's inflation showed that the Federal Reserve expanded its total assets before the Federal reserve expanded its total assets. After the implementation of the QE policy, when the Federal Reserve expanded its total assets, the price of our country rose rapidly, and a brief decline after the second period reached a high point. The three way mentioned in the three chapter also has spillover effects on the expectation of the public (especially price expectation) and the central bank and the enterprise balance sheet.
The fifth chapter studies the necessity of monetary policy coordination between China and the United States from the perspective of social welfare. This paper extends the new open macroeconomics new area model, establishes the two countries' DSGE model with the background of China and the United States, and analyses the potential benefits and its influencing factors of monetary policy coordination through numerical simulation. The results show that, after the implementation of the monetary policy coordination between China and the United States, the loss of welfare in China has been reduced, and the welfare income is positive, while the loss of welfare in the United States has increased, producing negative benefits. The overall welfare income of the two countries depends on the relative size of the benefits of the two countries. The maximum negative coordination of monetary policy in China and the United States has been calculated by numerical simulation. The maximum positive total income is 0.65% of the steady consumption to the -0.4% with the total income as the steady consumption. Because the monetary policy coordination of China and the United States will increase the loss of the United States welfare, the coordination will of the US monetary policy is weak.
The sixth chapter discusses the applicable mode of monetary policy coordination between China and the United States. This article summarizes the corresponding characteristics of the practice of monetary policy coordination in the Bretton Woods system since the disintegration of the Bretton Woods system, and then introduces the measures and effects of monetary policy coordination since the financial crisis. On this basis, this paper summarizes the contents and parties of monetary policy coordination. China and the United States carry out the conditions and obstacles of monetary policy coordination, and further sum up the Sino US monetary policy coordination model. In the short term, China and the United States should adopt a mixed monetary policy coordination mechanism with the advantages of both regular coordination and camera coordination. In the long run, China and the United States should carry out the Sino US target exchange rate zone coordination mechanism based on the supersovereign currency. Explore and try.
The seventh chapter summarizes the full text, summarizes the conclusion of the full text literature, the theoretical deduction, the empirical analysis, the conclusion of the numerical simulation, and puts forward the corresponding policy suggestions and future research direction.
【學(xué)位授予單位】：武漢大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F827.12;F822.0

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