【作者】 丁一；

【导师】 刘伟江；

【作者基本信息】 吉林大学 ， 数量经济学， 2016， 博士

【摘要】 随着全球经济一体化程度的不断加深,国内经济受到了更多的来自于世界经济局势的考验。其中美国作为世界第一大经济体,其货币政策的调整势必会对全球其他经济体造成显著的溢出效应。金融危机爆发后,美联储为了刺激经济实施了一系列非常规货币政策,这些政策虽然实现了本国经济的复苏,缓解了失业压力,但却对其他经济体的汇率、金融等市场造成相当的压力。目前,随着美国经济的好转,美联储货币政策已逐步常规化,并开启了新一轮的加息周期。这也再次对世界经济造成了强烈冲击,全球经济周期和宏观政策走向分化,多数经济体货币对美元均表现出不同程度的贬值,其中新兴经济体货币更是普遍大幅度贬值。比较而言,虽然我国所受到的冲击影响相对有限,且经济总体保持了中高速增长,但面对当前复杂多变的全球经济形势,以及美联储后续加息节奏、力度的不确定性,我国经济仍面临诸多风险。因此,准确研判美国货币政策溢出效应对我国的影响机制和作用机理,量化分析溢出效应对我国经济造成的影响在当前国内实施“供给侧”改革和经济转型调整时期都是至关重要的。基于上述考虑,本文研究内容及简要结论如下:(1)验证美联储货币政策冲击对我国短期跨境资本流动的溢出效应。通过检验证实我国短期跨境资本流动具有非线性特征,中美利差的滞后一期为转换变量,再对转换函数的形式加以检验证实为逻辑型。最后选择LSTR模型进行估计,得到回归结果及门限值。中美利差超过门限值0.65%时,汇率、利差的冲击效应均表现出增强的特点,而美联储货币政策宽松程度的冲击作用强度变化不显著,但影响作用持续期变短;采购经理人指数的影响则并未出现机制转变,同时其对跨境资本流动的冲击最为突出。因此美联储实施量化宽松政策时,尽管中美利差大幅度增加但我国短期跨境资本流动波幅相较于其他新兴经济体较平稳,主要是由于我国宏观基本面状况相对平稳,且实施的盯住美元汇率政策、外汇管制及宏观审慎政策也缓解了汇率波动。货币政策常规化以来利差逐渐下降,终会回归至危机前水平即门限值附近。因此可通过实施降准降息政策进一步刺激我国经济复苏;同时还可通过不断完善汇率市场和扩大汇率波幅的方式抑制我国出现短期跨境资本大幅度外流的状况。(2)运用LT-TVP-VAR模型研究美联储“数量型”及“价格型”货币政策冲击对我国经济增长及通货膨胀的溢出效应及传导渠道。其中“价格型”货币政策由于联邦基金利率在零利率下限的环境下失去意义,因此通过构建SRTSM模型估计美联储影子利率作为替代;而“数量型”货币政策则采用美国资产负债表规模作为指标。研究得出,美联储宽松政策对我国经济增长具有正向溢出效应但同时也加剧了我国的通货膨胀水平。比较证实“数量型”货币政策对我国经济增长的溢出效应更为显著,因此在关注加息对我国经济增长和通胀冲击的同时更应关注未来联储资产负债表规模缩减对我国经济的冲击。另外对汇率、利率及贸易三个传导渠道冲击效应进行比较研究,美联储紧缩性货币政策降低了我国利率和实际有效汇率水平,同时通过逆向的支出转换效应及吸收效应的作用削减了我国净出口。三者比较贸易渠道受到的冲击最为显著。本文还通过(E)GARH、TVECM等模型进一步了解验证传导渠道特点及相互间联系。(3)运用混频向量自回归模型研究大宗商品价格作为传导渠道对我国物价水平的溢出效应。以开放经济中的菲利普斯曲线模型为基础,将外生冲击大宗商品价格与汇率加入传统菲利普斯曲线构建实证模型。考虑到宏观经济变量产出为季度数据,与其他研究变量频率存在差异,为避免频率转换带来的信息丢失和误差,采用MF-VAR模型进行估计。研究结果认为后金融危机时期大宗商品价格的上升对我国CPI和PPI均具有显著的促进作用,且其中对PPI的冲击效应较为显著。另外人民币有效汇率波动则对物价水平具有负向冲击。面对当前我国CPI低于2%,PPI连续三年为负且通缩状况不断加剧的情况,可利用大宗商品对我国物价影响存在一定时滞性,建立检测和预警机制,避免价格水平发生大幅度波动。(4)通过SVAR、MS-VAR以及DCC-GARCH模型对美联储货币政策冲击影响我国资产价格的效应及传导渠道加以估计检验。通过模型估计中美股市动态相关系数,证实政策可以通过股市联动渠道传导,再利用MS-VAR模型验证美联储货币政策可以通过影响中美股市的关联程度进而对我国资产价格产生影响。尽管危机前后美联储货币政策对两市联动的溢出效应出现变化,但在全球经济环境平稳时,中美两国的股市仍显著的受到美国货币政策的影响;而危机爆发当期,美国货币政策的外溢效应基本消失则说明我国货币当局通过调节货币政策手段避免股市受到美国股市波动联动影响是有效可行的。运用SVAR模型具体分析了溢出效应。美国货币供给量调整对我国股票收益率的影响相对微弱,联邦基金利率的增加尽管即期带动我国股市走高,但之后转为消极影响;而房地产价格方面,美国货币政策的冲击方向与我国政策一致,但效果相对较小。在通过调整我国货币政策来抑制美国货币政策对我国房地产价格的溢出影响时应充分考虑其冲击的长期性及影响方向的变化性。另外美国货币政策调整对房地产市场的影响更为显著、持续期更长、关系更复杂。(5)基于TVP-FAVAR模型从货币政策、资产价格及宏观经济状况三个角度共选取了30个经济指标变量构建了我国金融状况指数,并检验了这一指数的有效性。然后利用潜在利差和名义利差分别作为美联储非常规货币政策与常规货币政策的代理便利,运用TVP-VAR模型对美国货币政策外溢性影响我国FCI的时变效应进行了实证研究。首先运用等间隔冲击响应整体分析了金融危机爆发前至今美国货币政策对我国金融市场在短期、中期及长期的不同影响,证实在美联储实施或退出量化宽松政策时期,其常规及非常规货币政策对我国金融市场的外溢效应存在显著差别,继而针对这些特殊时点进一步进行实证研究。美联储退出量化宽松政策后,常规货币政策即期对我国金融市场稳定具有显著的消极影响,而非常规货币政策则表现为相对较弱的积极影响。通过总结美联储退出量化宽松时对我国的冲击以及对比分析历史美联储加息溢出效应特点,本文认为我国人民币汇率虽面临压力,但实体经济企稳,低水平的外债占比以及处于相对高位的外汇储备足以应对加息冲击,本轮加息虽对我国金融市场造成一定冲击,但形成整体市场极度动荡的概率较小。通过上述实证分析本文从不同的角度研究了美国货币政策外溢性对我国经济的传导渠道及溢出效应。并针对不同渠道,结合当前错综复杂的全球经济环境和我国宏观经济特点提出了相关政策建议,以缓解美联储新一轮的加息周期及其政策的不确定性对我国经济造成冲击,提前化解相关风险。更多还原

【Abstract】 As the connections between world economies become closer, China’s economy has endured more tests from world economic situation. As the world largest economy, America’s adjustments of monetary policy will be bound to effects to the rest economies of the world. After the outbreak of the world financial crisis, the Federal Reserve implemented a series of unconventional monetary policies to stimulate the soft economy. Although these policies successfully help the economy recovery and alleviate the unemployment rate, they also put considerable pressure on the exchange rate of the other economies and the financial market. America’s economy is now experiencing an upturn, so the monetary policy of the Federal Reserve is being gradually normalized and a new round of interest-rate increase has been started, which again causes a strong impact on the world economy. Different economic sectors and macro policies continue to divide. The exchange rates of most economies to dollar are showing different degrees of depreciation, among which the emerging economy currency is generally suffering significant depreciation. Comparatively speaking, our country has suffered a relatively limited impact and maintains a rapid growth in the trend. But facing the complicated world economy situation and the uncertainty of the rhythm and the strength of the monetary policy normalized, our country is still facing many risks and challenges. Therefore we should solve these urgent problems that whether the spillovers of U.S. monetary policy will impact our economy and that of the channels of the transmission mechanism. Based on the above consideration, research content and brief conclusions of this article are as follows:(1) Verify the Fed monetary policy‘s spillover effects on the short-term cross-border capital of our country. It is tested and verified the nonlinearity of the short-term cross-border, and the first-lag of interest differentials is the transform variable. Then verify the form of conversion functions as logical type. At last, estimate by utilizing LSTR model and obtain regression results and threshold value. When Sino-US interest margin exceeds the threshold value to 0.65%, the impact effect of exchange rate and interest margin shows the feature of enhancement. However the intensify change of the impact effect of the Fed‘s loose monetary policy is not significant and continues to become shorter. PMI influence does appear mechanism change and meanwhile its impact effect on cross-border capital flow stands out significantly. Therefore while the Fed implementing quantitative easing policy, the amplitude of our short-term cross border capital flow appear to be more stable than that of other economy in spite of the substantial increase of Sino-US interest margin. It is resulted from our relatively stable macro fundamentals and the dollar peg, foreign exchange control and macro-prudence. After the normalization of monetary policy, the interest margin decreases gradually and will eventually return to around the threshold value. We can cut reserve and interest rate to further stimulate our economy recovery. We can also constantly complete marketization of exchange rate and enlarge the exchange rate volatility to restrain the sharp external flow of our short-term cross-border capital.(2) Utilize the LT-TVP-VAR model to research on the channels and impacts of the Fed scalar type monetary and price type monetary policies on our economic growth and inflation. As the federal funds rate will lose its significance under the environment of zero lower bound, the SRTSM model is built to estimate the Fed Shadow rate of interest rate as the price type monetary policy. The Fed balance sheet is utilized as index for the scalar type monetary policy. It is concluded that the Fed looseness has positive spillovers on our growth, but it has also intensified our inflation. It is verified by comparing that the scalar type monetary policy has an much more outstanding effect on our growth. Therefore we should pay more attention to the impacts of the Fed balance sheet shrink than the impacts of the interest increase on our growth and inflation. Meanwhile by making a comparative study on the impact effects of exchange rate, interest rate and trade, we find that the Fed tight monetary policy reduces our interest rate and real effective exchange rate level. Meanwhile it cuts down our net export by the contrary spending conversion effect and absorption effect. The trade channel has suffered the most notable impact. This article also utilizes(E)GARH and TVECM model to realize and verify the features and mutual relations between the channels.(3) VAR model is utilized to research on the bulk commodity price‘s effect on our price level. Based on the Philip curve in the open economy, the exogenous shocks in bulk commodity price and exchange rate have been joined to the Philip curve to build positivism model. Macroeconomic variable output is quarterly date, which has difference with other variable frequencies. Therefore MF-VAR model is utilized to avoid information loss and error during frequency conversion. It is concluded that the commodity price rise after the financial crisis has promoting effects on our CPI and PPI, among which the effects on he PPI is much more significant. The fluctuation of the RMB effective exchange rate has negative effects on our price level. Now our CPI is under 2%, our PPI is negative for 3 consecutive years and our deflation continues to rise. Therefore the time lag of the bulk commodity price‘s impact on the price could be utilized to build detection and warning mechanism to avoid wide price fluctuation.(4) Utilize SVAR、MS-VAR and DCC-GARCH model to estimate and test the conduction channel and the Fed monetary policy spillovers on our asset price. Utilize the model estimation dynamic correlation coefficient of Sino-US stock market to verify that monetary policy can conduct through stock market linkage channels. Utilize MS-VAR model to verify that the Fed monetary policy could impact on our asset price by influencing on the correlation level of Sino-US stock market. Although the spillover effect of the Fed monetary policy before and after the crisis on the Sino-US stock market has changed, the Sino-US stock market are still suffering the influence of US monetary policy when the global economic environment becomes smooth and stable. During the outbreak of the financial crisis, the effect of Fed monetary policy disappeared, which illustrated that the monetary policy adjustment of our country to avoid the stock market volatility was effective and feasible. SVAR model is utilized to concretely analyze the spillover effect. The effect of the US monetary aggregates adjustment on the stock returns of our country is relatively weak. The Fed found rate increase promoted our stock market at sight, but later it turned into negative influence. As for the aspect of real estate price, the impact position of US monetary policy is the same as that of our monetary policy, but it is relatively small. When restraining the spillover effects of the US monetary policy on our real estate price, we should sufficiently consider the chronicity and variability of the impact. The impact effect of the US monetary policy on the real estate market is much more prominent, complicated and longer.(5) 30 economic variables are chosen to build the financial condition index of our country and to test the effectiveness of this index based on the monetary policy, asset price and macro-economy of TVP-FAVAR model. The article also carries on an empirical study on the spillover effects of U.S. monetary policy on FCI of our country by using TVP-VAR model and by utilizing potential interest margin and nominal interest margin as Fed unconventional monetary policy and conventional monetary policy. First of all, utilize the interval shock response as a whole to analyze the different U.S. monetary policy‘s effects on our financial market during short term, interim and long term, which verifies the marked difference of the US unconventional monetary policy and conventional policy effect on our financial market during period of the quantitative easing policy. Then this article carries on a further research on these special time points. After the exit from the quantitative monetary policy, conventional monetary policy had significant negative influence on our financial market at sight. However, the Fed unconventional monetary policy had relatively weak positive influence on our financial market. By summarizing the effect of Fed tapering of quantitative easing policy on our financial economy and comparing historical spilover effects of Fed interest rate increase, this article considers that although RMB exchange rate is facing pressure, the entity economy still appears to be stable, low level of debt ratio and relatively high foreign exchange reserve are capable to cope with the impact of interest increase. This round of interest increase has a certain impact on our financial market, but the probability of the extreme volatility of the overall market is quite small.Through the above empirical analysis, this paper studied the transmission mechanisms and spillover effects of U.S. monetary policy on China’s economy from different angles. And Considering the current complex global economic environment and China’s macroeconomic characteristics, the paper proposed some relative strategic suggestions from different transmissions to mitigate impacts of Fed’s new round of rate-rise cycle and policy uncertainty on our economy, and tack risk.更多还原