本文關(guān)鍵詞：美國利率政策對中國經(jīng)濟(jì)的外溢效應(yīng)研究　出處：《華東師范大學(xué)》2017年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 美國利率政策 外溢效應(yīng) 動態(tài)隨機(jī)一般均衡模型 貨幣政策規(guī)則

【摘要】：近年來,隨著全球經(jīng)濟(jì)一體化進(jìn)程的不斷深化,國際經(jīng)濟(jì)與金融形成一個(gè)相互聯(lián)系的有機(jī)整體。商品與資本的跨境流通加速,使各國貨幣政策相互影響,溢出效應(yīng)明顯。美國作為世界第一大經(jīng)濟(jì)體,在全球經(jīng)濟(jì)中居主導(dǎo)地位,其貨幣政策變化除影響本國經(jīng)濟(jì)運(yùn)行外,還會對世界上其他國家的經(jīng)濟(jì)產(chǎn)生重要影響。同時(shí),在當(dāng)前的世界經(jīng)濟(jì)格局與全球貨幣體系中,美元無疑是大多數(shù)國家最主要的儲備貨幣,因此美國貨幣政策沖擊會對全球其他經(jīng)濟(jì)體產(chǎn)生更為顯著的影響。2015年12月16日,美國聯(lián)邦儲備局宣布上調(diào)聯(lián)邦基金利率25個(gè)基點(diǎn),目標(biāo)利率將維持在0.25%至0.50%之間,其貨幣政策由寬松轉(zhuǎn)向緊縮。時(shí)隔一年,在北京時(shí)間2016年12月15日,美聯(lián)儲又宣布加息25個(gè)基點(diǎn),將聯(lián)邦基金目標(biāo)利率上調(diào)至0.5%-0.75%之間,這是繼美國實(shí)行零利率政策以來的第二次加息。在全球經(jīng)濟(jì)與金融一體化的大背景下,美聯(lián)儲貨幣政策調(diào)整勢必對世界經(jīng)濟(jì)產(chǎn)生深遠(yuǎn)影響,對各國央行貨幣政策制定提出挑戰(zhàn)。本文采取實(shí)證分析與理論分析相統(tǒng)一的研究框架,來探究美國利率政策調(diào)整對中國經(jīng)濟(jì)的外溢效應(yīng)。通過歷史經(jīng)驗(yàn)分析與VAR模型的實(shí)證分析,得到美國利率政策沖擊之下中國經(jīng)濟(jì)的經(jīng)驗(yàn)特征。然后,根據(jù)實(shí)證分析所得特征事實(shí),結(jié)合中國經(jīng)濟(jì)和貨幣政策實(shí)踐的特點(diǎn),構(gòu)建了一個(gè)新開放經(jīng)濟(jì)動態(tài)隨機(jī)一般均衡(NOE-DSGE)模型,來研究美聯(lián)儲加息對中國經(jīng)濟(jì)的影響及其傳導(dǎo)機(jī)制。從1990年1月至2008年12月,美國大致經(jīng)歷了3輪完整的利率周期,分別為:1994年1月至1998年11月利率周期、1999年7月-2003年6月利率周期、2004年4月-2008年11月利率周期。從20世紀(jì)90年代至今,美聯(lián)儲經(jīng)歷了4次加息進(jìn)程。美聯(lián)儲加息進(jìn)程一般始于經(jīng)濟(jì)企穩(wěn)復(fù)蘇,就業(yè)狀況逐漸好轉(zhuǎn),就業(yè)率表現(xiàn)良好,通貨膨脹率開始回升并超過目標(biāo)通脹率(臨界點(diǎn)通常為2%),且伴隨著較強(qiáng)的趨勢性上升。當(dāng)經(jīng)濟(jì)由過熱轉(zhuǎn)冷,通貨膨脹預(yù)期趨于合理,通脹率出現(xiàn)下降時(shí),加息周期結(jié)束。隨著中國經(jīng)濟(jì)開放度的逐步提升,中美利率政策與宏觀經(jīng)濟(jì)的聯(lián)動性不斷加強(qiáng),美國利率政策調(diào)整對中國經(jīng)濟(jì)的影響更趨復(fù)雜�；谙蛄孔曰貧w(VAR)模型的實(shí)證分析顯示,在美國利率一個(gè)標(biāo)準(zhǔn)差大小的正向沖擊之下,聯(lián)邦基金利率不斷上升,作用效果較為顯著,持續(xù)時(shí)間較長。國內(nèi)利率隨之持續(xù)上升,但相較與聯(lián)邦基金利率,國內(nèi)利率變化幅度較小,持續(xù)時(shí)間較短。聯(lián)邦基金利率沖擊對中國產(chǎn)出在短期內(nèi)產(chǎn)生了較強(qiáng)的正向溢出效應(yīng),在中期則產(chǎn)生了一定負(fù)向溢出效應(yīng),而在長期則影響式微。美聯(lián)儲加息將使得中國在短期內(nèi)出現(xiàn)較嚴(yán)重的通脹效應(yīng),人民幣名義匯率在短期出現(xiàn)大幅貶值趨勢,中后期則出現(xiàn)小幅升值趨勢。官方外匯儲備出現(xiàn)暫時(shí)下降趨勢,表明貨幣當(dāng)局的匯率政策為"逆風(fēng)而行"的干預(yù)政策。國內(nèi)貨幣供應(yīng)量在短期出現(xiàn)小幅下降,之后開始回升到正向水平,表明央行匯率干預(yù)政策為"非沖銷"式,匯率的干預(yù)使得外匯占款同時(shí)發(fā)生變化。國際石油價(jià)格在短期大幅上升,之后逐漸回落;表明美聯(lián)儲加息后,供給成本增加,國內(nèi)通脹壓力加大。基于上述特征事實(shí),結(jié)合中國經(jīng)濟(jì)和貨幣政策實(shí)踐的特點(diǎn),本文構(gòu)建了一個(gè)新開放經(jīng)濟(jì)動態(tài)隨機(jī)一般均衡(NOE-DSGE)模型,來研究美聯(lián)儲加息對中國經(jīng)濟(jì)的影響及其傳導(dǎo)機(jī)制。本文的創(chuàng)新在于,在基準(zhǔn)理論模型中包含了跨境資本流動管制,考慮了實(shí)體經(jīng)濟(jì)與金融部門中存在的金融摩擦,引入了兩類金融加速器。同時(shí),基于央行不斷進(jìn)入外匯市場對匯率變化進(jìn)行直接干預(yù),從而造成外匯占款不斷增加的現(xiàn)實(shí),本文將貨幣當(dāng)局資產(chǎn)負(fù)債表嵌入模型動態(tài)系統(tǒng),刻畫這一重要特征;另外,根據(jù)中國當(dāng)前貨幣政策操作的實(shí)際情況,采用數(shù)量型貨幣政策規(guī)則,并包含了匯率目標(biāo)(或匯率目標(biāo)區(qū)間),貨幣當(dāng)局可據(jù)此進(jìn)行間接干預(yù)以保持匯率穩(wěn)定。對以上新開放經(jīng)濟(jì)動態(tài)隨機(jī)一般均衡(NOE-DSGE)模型進(jìn)行求解,然后對模型參數(shù)進(jìn)行校準(zhǔn)與貝葉斯估計(jì),最后通過數(shù)值模擬,分析了美聯(lián)儲加息對中國經(jīng)濟(jì)的影響及其傳導(dǎo)機(jī)制。通過將理論模型與VAR模型進(jìn)行比較可知,美國利率、中國利率、國內(nèi)生產(chǎn)總值、貨幣供應(yīng)量、價(jià)格水平、外匯儲備、人民幣匯率等變量基于VAR模型的實(shí)證分析所得結(jié)論與基于動態(tài)隨機(jī)一般均衡(DSGE)模型的理論分析所得結(jié)論一致,表明特征事實(shí)與理論模型具有較強(qiáng)的自洽性,從而實(shí)現(xiàn)了實(shí)證分析與理論分析的高度統(tǒng)一。在一個(gè)統(tǒng)一的模型框架內(nèi),綜合評估了各種貨幣政策規(guī)則及其福利績效�？傮w來說,若央行實(shí)施數(shù)量型貨幣政策,McCallum規(guī)則盯住實(shí)際匯率目標(biāo)最優(yōu),其次為McCallum不盯住匯率目標(biāo),而McCallum規(guī)則盯住名義匯率目標(biāo)區(qū)間表現(xiàn)居末;若央行實(shí)施價(jià)格型貨幣政策,Taylor規(guī)則盯住實(shí)際匯率目標(biāo)最優(yōu),其次為Taylor不盯住匯率目標(biāo),而Taylor規(guī)則盯住名義匯率目標(biāo)區(qū)間表現(xiàn)居末。在現(xiàn)行意愿性結(jié)售匯制度下,若數(shù)量型貨幣政策與價(jià)格型貨幣政策所包含的目標(biāo)變量相同,則數(shù)量型貨幣政策規(guī)則(McCallum規(guī)則)優(yōu)于價(jià)格型貨幣政策規(guī)則(Taylor規(guī)則)。而在"藏匯于民"制度下,若數(shù)量型貨幣政策與價(jià)格型貨幣政策所包含的目標(biāo)變量相同,則價(jià)格型貨幣政策規(guī)則(Taylor規(guī)則)優(yōu)于數(shù)量型貨幣政策規(guī)則(McCallum規(guī)則)。為降低美聯(lián)儲加息對中國經(jīng)濟(jì)帶來的潛在風(fēng)險(xiǎn),必須全面深化改革,提升中國經(jīng)濟(jì)的內(nèi)生增長動力。同時(shí),央行應(yīng)靈活運(yùn)用貨幣政策與匯率政策,提升有效應(yīng)對國外利率沖擊的能力。貨幣當(dāng)局應(yīng)提高貨幣政策決策的透明度,穩(wěn)定居民預(yù)期,疏通貨幣政策調(diào)控經(jīng)濟(jì)的渠道,理順貨幣政策的傳導(dǎo)機(jī)制;為避免美聯(lián)儲啟動新的加息周期后在短期出現(xiàn)較劇烈的資本外流,央行應(yīng)完善對跨境資本流動的管制制度,構(gòu)筑有效的監(jiān)測指標(biāo)和預(yù)警體系。當(dāng)前,全球重要的經(jīng)濟(jì)體之間貨幣政策存在嚴(yán)重沖突,加之反全球化、新保護(hù)主義與孤立主義勢力在國際上抬頭,可能會給中國經(jīng)濟(jì)帶來巨大風(fēng)險(xiǎn)。中國貨幣當(dāng)局應(yīng)就貨幣政策選擇與美國聯(lián)邦儲備局保持溝通,提升國內(nèi)資本市場運(yùn)作效率,提高金融體系的戰(zhàn)略地位,構(gòu)建高效的防火墻來防范境外金融風(fēng)險(xiǎn),科學(xué)合理的制定金融改革的路徑與節(jié)奏。提高匯率彈性,適度擴(kuò)大人民幣匯率的浮動區(qū)間,完善人民幣匯率的形成機(jī)制。中國這樣的大國,從長期戰(zhàn)略來看,自由浮動無疑是最適宜的匯率形成機(jī)制。在過度階段,較為適宜的匯率制度應(yīng)該是人民幣有效匯率在一個(gè)較寬的波動區(qū)間內(nèi)浮動,這個(gè)制度能夠較好地兼顧人民幣匯率的靈活性與穩(wěn)定性。降低國際儲備規(guī)模與外匯占款數(shù)量,減少央行被動進(jìn)入外匯市場進(jìn)行直接干預(yù)的頻率,減輕央行資產(chǎn)負(fù)債表對其貨幣政策操作的鉗制作用。在當(dāng)前,數(shù)量型貨幣政策仍有其繼續(xù)存在的理論依據(jù)與現(xiàn)實(shí)基礎(chǔ);實(shí)現(xiàn)從數(shù)量型貨幣政策向價(jià)格型貨幣政策的漸進(jìn)式轉(zhuǎn)型是較可取的選擇。貨幣當(dāng)局可在實(shí)施數(shù)量型貨幣政策的同時(shí),開始著手構(gòu)建價(jià)格型調(diào)控的基準(zhǔn)利率體系,最終實(shí)現(xiàn)從數(shù)量型貨幣政策向價(jià)格型貨幣政策的漸進(jìn)轉(zhuǎn)變。
[Abstract]:In recent years, with the deepening of the process of global economic integration, the international economy and finance have formed an organic whole that is interconnected. The cross-border circulation of goods and capital has accelerated, which makes the monetary policy of various countries influence each other, and the spillover effect is obvious. As the world's largest economy, the United States plays a leading role in the global economy. Its monetary policy changes will not only affect its economic operation, but also have an important impact on other countries' economies in the world. At the same time, in the current world economic structure and the global monetary system, the US dollar is undoubtedly the most important reserve currency in most countries. Therefore, the impact of the US monetary policy will have a more significant impact on other economies in the world. In December 16, 2015, the Federal Reserve announced that the federal funds rate will be raised by 25 basis points, the target interest rate will remain between 0.25% and 0.50%, and its monetary policy will shift from loose to tight. A year later, in Beijing time December 15, 2016, the Fed announced another 25 basis points for raising interest rates, raising the target rate of federal funds to 0.5%-0.75%, which is the second increase in interest rate since the US implemented the zero interest rate policy. Under the background of global economic and financial integration, the monetary policy adjustment of the Federal Reserve will have a profound impact on the world economy and challenge the central bank's monetary policy making. This paper adopts a framework of empirical analysis and theoretical analysis to explore the spillover effect of American interest rate policy adjustment on China's economy. Through the analysis of historical experience and the empirical analysis of the VAR model, the empirical characteristics of the Chinese economy under the impact of American interest rate policy are obtained. Then, based on the empirical analysis and the characteristics of China's economic and monetary policy, a dynamic stochastic general equilibrium (NOE-DSGE) model of new open economy is constructed to study the impact of the Fed's interest rate on China's economy and its transmission mechanism. From January 1990 to December 2008, the United States went through 3 rounds of complete interest rate cycles: January 1994 to November 1998, interest rate cycle, July 1999 -2003 June interest rate cycle and -2008 annual interest rate cycle. Since 1990s, the Fed has experienced 4 interest rate hikes. The Fed's interest rate raising process usually starts with the stabilization and recovery of the economy, and the employment situation gradually improves. The employment rate performs well. The inflation rate starts to rise and exceed the target inflation rate (critical point is always 2%), and it is accompanied by a strong trend. When the economy is from overheating to cold, the inflation expectation tends to be reasonable and the inflation rate falls, the interest rate increase cycle ends. With the gradual improvement of China's economic openness, Sino US interest rate policy and macro-economic linkage have been strengthened. The impact of US interest rate policy adjustment on China's economy is more complex. The empirical analysis based on vector autoregression (VAR) model shows that under the impact of the US standard deviation of interest rate, the interest rate of federal funds is rising, the effect is more significant, and the duration is longer. Domestic interest rates have continued to rise, but compared with the federal funds rate, domestic interest rates have changed slightly, and the duration is shorter. The impact of the federal funds interest rate on China's output has a strong positive spillover effect in the short run, and it has a negative spillover effect in the middle period, while in the long run, it has a negative impact. The Fed's interest rate increase will lead to a more severe inflation effect in China in the short term. The nominal exchange rate of RMB will have a significant depreciation trend in the near future, and a slight appreciation trend will appear in the middle and later stage. A temporary decline in official foreign exchange reserves shows that the monetary authority's exchange rate policy is a policy of "against the wind". The domestic money supply decreased slightly in the short run, and then began to rise to a positive level, indicating that the central bank's exchange rate intervention policy is "non sterilized", and the intervention of exchange rate makes foreign exchange changes at the same time. The international oil price rose sharply in the short term, after gradually decline; the Fed interest rate hike, the supply cost increase, domestic inflation pressure. Based on the above characteristics, combined with the characteristics of China's economic and monetary policy practice, this paper constructs a new dynamic stochastic general equilibrium (NOE-DSGE) model of new open economy to study the impact of the Fed's interest rate on China's economy and its transmission mechanism. The innovation of this paper is that the cross border capital flow control is included in the benchmark theory model, considering the financial frictions existing in the real economy and the financial sector, and two financial accelerators are introduced. At the same time, the central bank continued to enter the foreign exchange market for direct intervention on the exchange rate based on the change, resulting in increased foreign exchange reality, the monetary authorities in the balance sheet dynamic system model is embedded, depict the important characteristics; in addition, according to the actual situation of the current Chinese monetary policy operation, the number of monetary policy rules, and includes the exchange rate target (or target interval), the monetary authorities will therefore perform indirect intervention to keep the exchange rate stable. The above new open economic dynamic stochastic general equilibrium (NOE-DSGE) model is solved. Then, the calibration and Bayesian estimation of the model parameters are carried out. Finally, through numerical simulation, the influence of the Fed's interest rate on China's economy and its transmission mechanism are analyzed. Through the theoretical model and the VAR model were compared, China US interest rate, interest rate, GDP, money supply, price level, foreign exchange reserves, the RMB exchange rate and other variables based on VAR analysis and the conclusion based on the dynamic stochastic general equilibrium (DSGE) model to analyze the conclusion, that the facts and features the theoretical model has strong self consistency, so as to realize the unification of empirical analysis and theoretical analysis. In the framework of a unified model, various monetary policy rules and their welfare performance are evaluated comprehensively. On the whole, if the central bank implements the quantitative monetary policy
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F827.12;F124

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