本文關(guān)鍵詞：美國貨幣政策對我國經(jīng)濟的溢出效應分析　出處：《吉林大學》2016年博士論文　論文類型：學位論文

  更多相關(guān)文章： 美國貨幣政策 溢出效應 經(jīng)濟增長 資產(chǎn)價格 資本流動 金融市場

【摘要】：隨著全球經(jīng)濟一體化程度的不斷加深,國內(nèi)經(jīng)濟受到了更多的來自于世界經(jīng)濟局勢的考驗。其中美國作為世界第一大經(jīng)濟體,其貨幣政策的調(diào)整勢必會對全球其他經(jīng)濟體造成顯著的溢出效應。金融危機爆發(fā)后,美聯(lián)儲為了刺激經(jīng)濟實施了一系列非常規(guī)貨幣政策,這些政策雖然實現(xiàn)了本國經(jīng)濟的復蘇,緩解了失業(yè)壓力,但卻對其他經(jīng)濟體的匯率、金融等市場造成相當?shù)膲毫ΑＤ壳?隨著美國經(jīng)濟的好轉(zhuǎn),美聯(lián)儲貨幣政策已逐步常規(guī)化,并開啟了新一輪的加息周期。這也再次對世界經(jīng)濟造成了強烈沖擊,全球經(jīng)濟周期和宏觀政策走向分化,多數(shù)經(jīng)濟體貨幣對美元均表現(xiàn)出不同程度的貶值,其中新興經(jīng)濟體貨幣更是普遍大幅度貶值。比較而言,雖然我國所受到的沖擊影響相對有限,且經(jīng)濟總體保持了中高速增長,但面對當前復雜多變的全球經(jīng)濟形勢,以及美聯(lián)儲后續(xù)加息節(jié)奏、力度的不確定性,我國經(jīng)濟仍面臨諸多風險。因此,準確研判美國貨幣政策溢出效應對我國的影響機制和作用機理,量化分析溢出效應對我國經(jīng)濟造成的影響在當前國內(nèi)實施“供給側(cè)”改革和經(jīng)濟轉(zhuǎn)型調(diào)整時期都是至關(guān)重要的。基于上述考慮,本文研究內(nèi)容及簡要結(jié)論如下:(1)驗證美聯(lián)儲貨幣政策沖擊對我國短期跨境資本流動的溢出效應。通過檢驗證實我國短期跨境資本流動具有非線性特征,中美利差的滯后一期為轉(zhuǎn)換變量,再對轉(zhuǎn)換函數(shù)的形式加以檢驗證實為邏輯型。最后選擇LSTR模型進行估計,得到回歸結(jié)果及門限值。中美利差超過門限值0.65%時,匯率、利差的沖擊效應均表現(xiàn)出增強的特點,而美聯(lián)儲貨幣政策寬松程度的沖擊作用強度變化不顯著,但影響作用持續(xù)期變短;采購經(jīng)理人指數(shù)的影響則并未出現(xiàn)機制轉(zhuǎn)變,同時其對跨境資本流動的沖擊最為突出。因此美聯(lián)儲實施量化寬松政策時,盡管中美利差大幅度增加但我國短期跨境資本流動波幅相較于其他新興經(jīng)濟體較平穩(wěn),主要是由于我國宏觀基本面狀況相對平穩(wěn),且實施的盯住美元匯率政策、外匯管制及宏觀審慎政策也緩解了匯率波動。貨幣政策常規(guī)化以來利差逐漸下降,終會回歸至危機前水平即門限值附近。因此可通過實施降準降息政策進一步刺激我國經(jīng)濟復蘇;同時還可通過不斷完善匯率市場和擴大匯率波幅的方式抑制我國出現(xiàn)短期跨境資本大幅度外流的狀況。(2)運用LT-TVP-VAR模型研究美聯(lián)儲“數(shù)量型”及“價格型”貨幣政策沖擊對我國經(jīng)濟增長及通貨膨脹的溢出效應及傳導渠道。其中“價格型”貨幣政策由于聯(lián)邦基金利率在零利率下限的環(huán)境下失去意義,因此通過構(gòu)建SRTSM模型估計美聯(lián)儲影子利率作為替代;而“數(shù)量型”貨幣政策則采用美國資產(chǎn)負債表規(guī)模作為指標。研究得出,美聯(lián)儲寬松政策對我國經(jīng)濟增長具有正向溢出效應但同時也加劇了我國的通貨膨脹水平。比較證實“數(shù)量型”貨幣政策對我國經(jīng)濟增長的溢出效應更為顯著,因此在關(guān)注加息對我國經(jīng)濟增長和通脹沖擊的同時更應關(guān)注未來聯(lián)儲資產(chǎn)負債表規(guī)�？s減對我國經(jīng)濟的沖擊。另外對匯率、利率及貿(mào)易三個傳導渠道沖擊效應進行比較研究,美聯(lián)儲緊縮性貨幣政策降低了我國利率和實際有效匯率水平,同時通過逆向的支出轉(zhuǎn)換效應及吸收效應的作用削減了我國凈出口。三者比較貿(mào)易渠道受到的沖擊最為顯著。本文還通過(E)GARH、TVECM等模型進一步了解驗證傳導渠道特點及相互間聯(lián)系。(3)運用混頻向量自回歸模型研究大宗商品價格作為傳導渠道對我國物價水平的溢出效應。以開放經(jīng)濟中的菲利普斯曲線模型為基礎(chǔ),將外生沖擊大宗商品價格與匯率加入傳統(tǒng)菲利普斯曲線構(gòu)建實證模型。考慮到宏觀經(jīng)濟變量產(chǎn)出為季度數(shù)據(jù),與其他研究變量頻率存在差異,為避免頻率轉(zhuǎn)換帶來的信息丟失和誤差,采用MF-VAR模型進行估計。研究結(jié)果認為后金融危機時期大宗商品價格的上升對我國CPI和PPI均具有顯著的促進作用,且其中對PPI的沖擊效應較為顯著。另外人民幣有效匯率波動則對物價水平具有負向沖擊。面對當前我國CPI低于2%,PPI連續(xù)三年為負且通縮狀況不斷加劇的情況,可利用大宗商品對我國物價影響存在一定時滯性,建立檢測和預警機制,避免價格水平發(fā)生大幅度波動。(4)通過SVAR、MS-VAR以及DCC-GARCH模型對美聯(lián)儲貨幣政策沖擊影響我國資產(chǎn)價格的效應及傳導渠道加以估計檢驗。通過模型估計中美股市動態(tài)相關(guān)系數(shù),證實政策可以通過股市聯(lián)動渠道傳導,再利用MS-VAR模型驗證美聯(lián)儲貨幣政策可以通過影響中美股市的關(guān)聯(lián)程度進而對我國資產(chǎn)價格產(chǎn)生影響。盡管危機前后美聯(lián)儲貨幣政策對兩市聯(lián)動的溢出效應出現(xiàn)變化,但在全球經(jīng)濟環(huán)境平穩(wěn)時,中美兩國的股市仍顯著的受到美國貨幣政策的影響;而危機爆發(fā)當期,美國貨幣政策的外溢效應基本消失則說明我國貨幣當局通過調(diào)節(jié)貨幣政策手段避免股市受到美國股市波動聯(lián)動影響是有效可行的。運用SVAR模型具體分析了溢出效應。美國貨幣供給量調(diào)整對我國股票收益率的影響相對微弱,聯(lián)邦基金利率的增加盡管即期帶動我國股市走高,但之后轉(zhuǎn)為消極影響;而房地產(chǎn)價格方面,美國貨幣政策的沖擊方向與我國政策一致,但效果相對較小。在通過調(diào)整我國貨幣政策來抑制美國貨幣政策對我國房地產(chǎn)價格的溢出影響時應充分考慮其沖擊的長期性及影響方向的變化性。另外美國貨幣政策調(diào)整對房地產(chǎn)市場的影響更為顯著、持續(xù)期更長、關(guān)系更復雜。(5)基于TVP-FAVAR模型從貨幣政策、資產(chǎn)價格及宏觀經(jīng)濟狀況三個角度共選取了30個經(jīng)濟指標變量構(gòu)建了我國金融狀況指數(shù),并檢驗了這一指數(shù)的有效性。然后利用潛在利差和名義利差分別作為美聯(lián)儲非常規(guī)貨幣政策與常規(guī)貨幣政策的代理便利,運用TVP-VAR模型對美國貨幣政策外溢性影響我國FCI的時變效應進行了實證研究。首先運用等間隔沖擊響應整體分析了金融危機爆發(fā)前至今美國貨幣政策對我國金融市場在短期、中期及長期的不同影響,證實在美聯(lián)儲實施或退出量化寬松政策時期,其常規(guī)及非常規(guī)貨幣政策對我國金融市場的外溢效應存在顯著差別,繼而針對這些特殊時點進一步進行實證研究。美聯(lián)儲退出量化寬松政策后,常規(guī)貨幣政策即期對我國金融市場穩(wěn)定具有顯著的消極影響,而非常規(guī)貨幣政策則表現(xiàn)為相對較弱的積極影響。通過總結(jié)美聯(lián)儲退出量化寬松時對我國的沖擊以及對比分析歷史美聯(lián)儲加息溢出效應特點,本文認為我國人民幣匯率雖面臨壓力,但實體經(jīng)濟企穩(wěn),低水平的外債占比以及處于相對高位的外匯儲備足以應對加息沖擊,本輪加息雖對我國金融市場造成一定沖擊,但形成整體市場極度動蕩的概率較小。通過上述實證分析本文從不同的角度研究了美國貨幣政策外溢性對我國經(jīng)濟的傳導渠道及溢出效應。并針對不同渠道,結(jié)合當前錯綜復雜的全球經(jīng)濟環(huán)境和我國宏觀經(jīng)濟特點提出了相關(guān)政策建議,以緩解美聯(lián)儲新一輪的加息周期及其政策的不確定性對我國經(jīng)濟造成沖擊,提前化解相關(guān)風險。
[Abstract]:With the deepening of the global economic integration, the domestic economy has been tested more from the world economic situation. As the largest economy in the world, the adjustment of monetary policy of the United States will cause significant spillover effects on the other economies of the world. After the outbreak of the financial crisis, the Fed implemented a series of unconventional monetary policies to stimulate the economy. Although these policies have realized the recovery of their own economy and alleviated the pressure of unemployment, they have caused considerable pressure on other economies such as exchange rate, financial market and so on. At present, with the improvement of the US economy, the Fed's monetary policy has been gradually normalized and opened a new round of interest rate increase cycles. This once again has a strong impact on the world economy. The global economic cycle and macro policy are going to differentiate. Most of the currencies of the economies show different devaluation to the US dollar, and the currencies of emerging economies are generally devaluing widely. Comparatively speaking, although China's impact is relatively limited, and the economy has maintained a high-speed growth, but facing the current complex and changing global economic situation, as well as the uncertainty of the pace and intensity of the Fed's subsequent interest rate increase, China's economy is still facing many risks. Therefore, accurately analyzing the impact mechanism and mechanism of the US monetary policy spillover effect on China, and quantitatively analyzing the impact of spillover effects on China's economy is crucial in the current implementation of the "supply side" reform and economic transformation adjustment period. Based on the above considerations, the research content and brief conclusions are as follows: (1) verify the spillover effect of the impact of the Fed monetary policy impact on China's short-term cross-border capital flows. It is confirmed by test that China's short term cross-border capital flow has nonlinear characteristics. The lag between the US and China spreads is a conversion variable, and the transformation function is verified as a logical form. Finally, the LSTR model is selected to estimate the regression results and the threshold value. The U.S. interest rate exceeds a threshold value of 0.65%, the impact of the effect of exchange rate and interest showed enhanced features, but not significantly impact strength change in the Fed's monetary policy easing, but the effect of duration becomes shorter; influence of purchasing managers' index is not a system change, and its impact on Cross-border capital flows the most prominent. Therefore, the Fed's quantitative easing, although the U.S. interest rate increases but China's short-term cross-border capital flows volatility compared to other emerging economies is relatively stable, mainly due to China's macroeconomic fundamentals are relatively stable, and the implementation of the dollar exchange rate policy, foreign exchange control and macro Prudential policy to alleviate the fluctuation of exchange rate. Since the normalization of monetary policy, the difference of the interest rate has gradually declined, and it will eventually return to the pre crisis level, that is, near the threshold value. Therefore, we can further stimulate China's economic recovery through the implementation of the policy of lowering interest rates, and at the same time, we can also curb the short-term outflow of cross-border capital in China by improving the exchange rate market and expanding the volatility of the exchange rate. (2) using LT-TVP-VAR model to study the spillover effect and transmission channel of the Fed's quantitative and price monetary policy shocks on China's economic growth and inflation. The "price" of monetary policy because the federal funds rate is meaningless at the zero lower bound environment, so by constructing a SRTSM model to estimate the Fed's shadow interest rate as a substitute; and the "quantity" of monetary policy by the size of the balance sheet as an index. The study shows that the loose policy of the Fed has a positive spillover effect on China's economic growth, but it also aggravates the level of inflation in China. It is confirmed that the "quantitative" monetary policy has a more significant spillover effect on China's economic growth. Therefore, we should pay more attention to the impact of the scale of the Federal Reserve's balance sheet on China's economy when we pay attention to the impact of interest rate increase on China's economic growth and inflation. The comparative study of the exchange rate, interest rate and trade three channel shock effect, the Fed tightening monetary policy to reduce the interest rate of our country and the real effective exchange rate, and reverse the expenditure switching effect and absorption effect of cut China's net export. The three comparison of trade channels is the most significant impact. In this paper, (E) GARH, TVECM and other models to further understand the characteristics of the transmission channel and the relationship between each other. (3) using the mixed frequency vector autoregressive model to study the spillover effect of commodity prices on the price level of our country. Based on the Phillips curve model in the open economy, the empirical model is constructed by adding the price of exogenous shocks and the exchange rate to the traditional Phillips curve. Considering that the output of macroeconomic variables is quarterly data, there are differences in frequency with other research variables. In order to avoid information loss and error caused by frequency conversion, we use MF-VAR model to estimate. The results show that the rise of commodity prices in the post financial crisis period has a significant role in promoting CPI and PPI in China, and the impact on PPI is more significant. In addition, the fluctuation of the effective exchange rate of RMB has a negative impact on the price level. In the face of the fact that China's CPI is below 2%, PPI has been negative for three consecutive years and deflation has been increasing, there will be some time lag in the impact of commodity prices on China's prices. A mechanism of detection and early warning is established to avoid a significant fluctuation in the price level. (4) through the SVAR, MS-VAR and DCC-GARCH models, the effect of the impact of the monetary policy of the Fed on the asset price of our country and the channel of transmission are estimated and tested. The dynamic correlation coefficient between Chinese and American stock markets is estimated by the model. It is confirmed that the policy can be conducted through the stock market linkage channel, and then the MS-VAR model is used to verify that the Federal Reserve's monetary policy can affect the US and China's stock market.
【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F827.12;F124;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 劉偉江;丁一;隋建利;;人民幣與亞洲其他市場貨幣匯率動態(tài)相關(guān)性研究[J];學習與探索;2016年01期

2 董小君;呂君臨;;輸入型通縮與供給過剩型的疊加是本輪經(jīng)濟下滑的本質(zhì)特征[J];華東經(jīng)濟管理;2015年12期

3 王申;陶士貴;童中文;;美國退出量化寬松政策會加劇我國通貨緊縮嗎?——基于SVAR模型的實證研究[J];管理現(xiàn)代化;2015年06期

4 張?zhí)祉?;西方國家貨幣政策與國際大宗商品的價格動態(tài)[J];世界經(jīng)濟研究;2015年10期

5 劉偉江;丁一;隋建利;;貨幣政策對股市收益率的影響:非對稱效應解析[J];廣東財經(jīng)大學學報;2015年05期

6 劉偉江;丁一;隋建利;;宏觀經(jīng)濟與中美股市動態(tài)相關(guān)性研究[J];中南大學學報(社會科學版);2015年04期

7 劉偉江;丁一;隋建利;;貨幣政策外溢性對我國房地產(chǎn)價格影響研究——以美國為例[J];經(jīng)濟問題探索;2015年08期

8 鄧創(chuàng);;中國貨幣政策應該盯住資產(chǎn)價格嗎?[J];南京社會科學;2015年07期

9 胡國良;陳璋;龍少波;;結(jié)構(gòu)轉(zhuǎn)變、套利行為與中國短期國際資本流動[J];國際貿(mào)易問題;2015年07期

10 鐘紅;李宏瑾;蘇乃芳;;通貨緊縮的定義、度量及對當前經(jīng)濟形勢的判斷[J];國際金融研究;2015年07期

相關(guān)碩士學位論文 前4條

1 郭琬秋;美國量化寬松貨幣政策對中國經(jīng)濟的影響分析[D];北方工業(yè)大學;2013年

2 丁一;我國財政政策與經(jīng)濟增長關(guān)系研究[D];吉林大學;2013年

3 夏玉婕;非常規(guī)貨幣政策的理論與實踐經(jīng)驗[D];西南財經(jīng)大學;2013年

4 黃準;國際資本流動與房地產(chǎn)價格的關(guān)聯(lián)性研究[D];暨南大學;2011年

，

本文編號：1345900