美国货币政策对中国产出溢出效应的实证研究

【作者】 庄佳；

【导师】 干杏娣；

【作者基本信息】 复旦大学 ， 金融学， 2009， 博士

【摘要】 货币政策的国际传导和溢出效应是一个存在争论的研究课题，本文就美国货币政策对中国产出的溢出效应进行了实证检验，重点分析了美国货币政策对中国产出溢出效应的存在性、趋势性、传导渠道和地区差异。全文共分七章：第一章对相关领域的研究文献进行了梳理。基于蒙代尔-弗莱明-多恩布什模型和新开放经济宏观经济学模型，许多学者对货币政策的国际传导和溢出效应进行了广泛的研究。同时，亦有大量文献利用现实经济数据，运用向量自回归等方法，对货币政策的溢出效应进行了实证研究。但是，这些研究并没有消除对这一问题的争论，争论主要来自于两个方面，一是货币政策溢出效应的方向，二是货币政策溢出的具体传导渠道。第二章就美国货币政策对中国产出的溢出效应进行了检验。实证结果表明，扩张性的美国货币政策对中国产出的影响也是扩张性的。在短期，美国货币政策冲击对中国产出变动的贡献率要小于其对G7国家(美国除外)和韩国经济变动的贡献率，而在中长期则是基本接近的。此外，1995年以来，美国货币政策对中国产出的中长期溢出效应大体呈现不断增强的趋势。第三章就美国货币政策对中国的溢出效应进行了理论解释。笔者认为，美国货币政策溢出中国主要通过三个渠道：一是政策渠道，出于实现外部均衡的考虑，中国货币政策会对美国货币政策的变动作出反应，中国货币政策的变动会通过利率渠道、非货币资产价格渠道以及信用渠道作用于中国产出；二是贸易渠道，美国货币政策调整会通过支出转换和收入吸收两种效应影响中国的贸易收支，进而影响中国产出；三是资产价格渠道，美国货币政策变动带来的国际资本流动和投资者预期心理的变动影响到中国的资产价格，而资产价格的变化会通过财富效应和托宾Q作用于中国产出。第四章对美国货币政策溢出的传导渠道进行了实证检验。实证结论表明，从政策渠道来看，扩张性的美国货币政策会导致中国利率的下降和货币供应量的增加，即中国货币政策的扩张，尽管2005年人民币汇率形成机制改革以来，中国货币政策的独立性有所增强，但央行为维持汇率稳定，货币政策被动地适应汇率的变化，政策的独立性受到一定程度的影响，特别是在长期，排除时滞因素后，美国货币政策对中国货币政策有着重要的影响。从贸易渠道来看，扩张性的美国货币政策会导致中国贸易收支在短期恶化，而在长期得到改善，政策冲击对贸易收支影响的方向是支出转换效应和收入吸收效应共同作用的结果，从长期看，收入吸收效应将变的更为重要。从资产价格渠道来看，扩张性的美国货币政策还会导致中国股市收益率的下降。第五章综合分析并比较了美国货币政策溢出中国不同传导渠道的相对重要性。通过方差分解的方法，笔者发现，在美国货币政策溢出中国的过程中，政策渠道是相对重要的传导渠道，贸易渠道次之，而资产价格渠道的作用在现阶段还相对较小。第六章对美国货币政策溢出效应的地区差异进行了实证检验。由于中国区域发展不平衡，美国货币政策冲击对中国各个地区的影响并不完全相同。本章的实证结论表明，美国货币政策的溢出效应在东部地区传导较为迅速，并且影响程度也略大于中西部。从溢出效应的传导渠道来看，美国货币政策溢出效应的地区差异来自于政策渠道、贸易渠道以及资产价格渠道的地区差异。第七章对全文进行总结，概括了本文在实证方面得到的若干结论，并针对中国当前的经济状况提出了相应的政策建议。更多还原

【Abstract】 The international transmission and the spillover effects of monetarypolicy have long been discussed,but remain controversial.Thisdissertation documents detailed evidence on the monetary policy spillovereffects from United States to China,and examines the mechanism by whichUS monetary policy shocks are internationally transmitted to China.This dissertation is organized as follows:Chapter l summarizes the corresponding literature.Based on theMundell-Flaming-Dornbush Model and New Open Economy Macroeconomic Model,many researchers have done extensive theoretical studies on theinternational transmission and the spillover effects of monetary policy.Also,there are many empirical researches using VAR method.However,theseresearches have not resolved the ambiguity,which comes from two sources.The first is the prediction of monetary policyspillover effects,and thesecond is the specific transmission mechanism of monetary policyspillover.Chapter 2 examines the spillover effects of US monetary policy shockson China’s output based on SVAR model.The empirical results indicate thatthe influence of expansionary US monetary policy to China’s output ispositive.In the short run,the portion that US monetary shocks explainfor China is smaller than that of the non-US,G7 countries and Korea,butthey are similar in the long run.In addition,since 1995 the US monetarypolicy spillover effects on China’s output tend to be stronger.Chapter 3 makes a theoretical analysis of the spillover effects ofUS monetary policy to China.US monetary policy shocks are transmittedto China by three main channels.The first is the policy channel.China’smonetary policy will respond to the change of US monetary policy.As aresult,China’s output will adjust accordingly.The second is the tradechannel.US monetary policy shocks will influence China’s trade balance,and thus China’s output through the expenditure switch effects and theincome absorption effects.The third channel is by assets price.theadjustment of the international capital flow and the expectation ofinvestors caused by US monetary shift would have some impacts on China’s asset price,which will affect China’s output through wealth effects andTobin’s Q.Chapter 4 examines the transmission channels by which US monetarypolicy transmits to China.The empirical results indicate thatexpansionary US monetary policy can lower China’s interest rate andenlarge its money supply.Although the RMB exchange rate formationmechanism reform in 2005 has improved the independence of China monetarypolicy,the central bank had to maintain exchange rate stable,and thusits policy follows US policy to some extent.China’s trade balance woulddeteriorate in the short run under the influence of US monetary policy,while turn to improve in the long run.Thus the direction of the policyshock to the trade balance is determined by both the expenditure switcheffect and the income absorption effect.However,the latter would becomeeven more important in the long run.Moreover,the expansionary USmonetary policy would lead to the decline of China’s stock return by theasset price channel.Chapter 5 compares the importance of various transmission channelsby which US monetary policy transmits to China.By using the variancedecomposition method,the author concludes that the policy turns to bethe most important among all the three channels,while the asset priceplays the least important role currently.Chapter 6 examines the spillover effects on different regions.Dueto the imbalanced economic development of China’s regions,the impactsof US monetary policy shocks vary in regions.It can be found from theresults that the spillover effects of US monetary policy transmit fasterand are slightly stronger in the eastern region than in the middle andwestern regions.Chapter 7 summarizes the results and concludes.更多还原