【作者】 刘晓兰；

【导师】 赖明勇；

【作者基本信息】 湖南大学 ， 国际贸易学， 2015， 博士

【摘要】 美国量化宽松货币政策对他国的溢出效应是近年来学界研究的前沿热点。同为全球两大经济体,中美经贸往来极为密切,因此,研究美国量化宽松对我国经济的溢出效应成为当前研究中的重中之重。然而,现阶段关于货币政策溢出效应的方向、传导机制及具体经济影响等方面的研究还远未臻完善。因此,论文尝试较全面地分析该政策对中国经济可能产生影响的传导渠道,综合运用多种研究方法深入考察其对中国经济多维度的溢出效应。首先,文章系统梳理了国内外货币政策溢出效应的研究文献,从货币政策溢出效应的理论基础、传导渠道、经济效应和实证方法各方面借鉴现有文献研究脉络,发现现有研究还存在解释力不足、缺乏深度和系统性、研究视角局部化以及研究方法相对单一的问题,进而提出文章的研究思路和框架,奠定后文的研究基础。其次,文章界定了量化宽松和货币政策溢出效应两个重要概念,并分别从蒙代尔-弗莱明模型、多恩布什汇率超调模型、新开放经济模型和国际经济政策协调的基础理论四个方面从理论视角分析了一般货币政策溢出效应的国际传导机制,归纳出汇率、利率、收入和定价货币差异四条传导渠道。然后分析出美国量化宽松政策外溢效应的传导机制是基于汇率、利率、美国收入和国际大宗商品价格四条传导渠道,并研究了量化宽松影响我国物价、进出口贸易、国际资本流动及产出的机理。再次,文章运用SVAR模型、ARDL模型、FGLS、固定效应和GMM等相结合的实证分析方法,分别深入分析了美国量化宽松货币政策对我国物价、进出口贸易、国际资本流动及产出的溢出效应,包括其中总的溢出效应、分行业的溢出效应和跨国比较的溢出效应。研究表明:(1)美国量化宽松从总体上抑制了我国消费价格水平、我国工业出厂价格指数以及进口价格指数的上涨,汇率渠道对我国的物价的负向效应最显著,超过了利率渠道和国际大宗商品价格渠道对我国的物价正向效应。分行业的结果表明:美国量化宽松对资本密集型行业价格的抑制作用最大,主要渠道为汇率。(2)美国量化宽松短期内对进出口贸易具有负向溢出效应,长期来看对出口贸易具有不断增强的正向影响而对进口贸易的影响不显著,此外美国量化宽松对中美双边贸易影响并不大。从传导渠道看,汇率渠道带来的负向效应最显著,美国收入渠道带来的正向效应显著,国际大宗商品价格渠道抑制了出口贸易而促进了进口贸易。(3)美国量化宽松加剧了短期国际资本流动的波动性,短期国际资本流动对人民币汇率预期及实际汇率都非常敏感。美国量化宽松有利于我国FDI流入,其中主要促进了我国市场导向型FDI的流入,而抑制了资源导向型FDI流入。但汇率和利差因素对短期国际资本流动的冲击均要大于对长期国际资本流动的冲击。此外,美国量化宽松通过汇率渠道也促进了我国对外直接投资。(4)美国量化宽松通过物价路径对我国产出以正向影响为主;通过FDI路径对我国产出带来了显著正向影响。分行业的检验结果表明,美国量化宽松促进了我国分行业增加值的提高,但对我国工业行业产出增速带来了显著负面影响,而且美国量化宽松对不同工业行业产出的影响存在差异,美国量化宽松对我国劳动密集型行业产出的负向溢出效应最大,主要负向溢出路径为物价和贸易;美国量化宽松对资本密集型行业负向溢出效应相对较小,主要负向溢出路径为物价;而不同于其他行业类型,美国量化宽松通过贸易路径促进了资本密集型行业产出增长。然后,考虑到前面的研究是基于局部均衡的视角,且以事后检验为主,难以综合分析美国量化宽松货币政策对中国宏观经济和微观产业发展的整体经济环境变化的影响。因此,文章进一步利用扩展了的可计算一般均衡模型,通过刻画金融市场行为、体现中美的经济往来关系,研究了美国量化宽松货币政策对我国经济环境变动的溢出效应。研究表明:在宏观经济方面,该政策短期内主要通过影响劳动力市场和贸易格局、长期内主要通过影响资本市场而对中国经济产生影响。其对中国的进出口贸易环境造成了明显的冲击,虽然依然保持贸易顺差趋势,但出口增速明显放缓将加大寻找其他海外市场或扩大内需的压力。同时,它会在一定程度上加大流入中国的资本量,导致输入型通胀(CPI上涨);也会加大投资市场的风险性和不确定性(部分投资回流,还有的可能转而寻找其他海外市场)。在行业层面,受该政策影响,中国资本市场、劳动力市场、贸易格局会发生变动,有的行业明显受益,有的则明显受损,所以中国产业结构,特别是贸易结构,将会因此而改变,短时间内会导致出口企业受创,但从长期来看将有助于其提高竞争力和抗压能力。最后,对文章的主要结论进行了总结。并基于前面研究的结果,主要从对我国经济溢出的四条渠道及行业差异的角度提出了应对美国量化宽松对我国负面溢出效应的政策建议。文末,对后续研究进行了展望。更多还原

【Abstract】 In recent years, the spillover effect of American quantitative easing monetary policy(American QE) on the world has been attached increasing academic attention. Both as the world’s largest economies, China and the US are connected by close economic and trade exchanges,so that the research of the spillover effect of American QE on China’s economy has been a top priority in the current study. However, research on monetary policy spillovers, transmission mechanisms and economic influence is far from concluded. Therefore, this thesis makes efforts to sort out the comprehensive transmission channels of American QE and study into the spillover effects on China with comprehensive use of a variety of approaches.Firstly, this thesis reviews the research literatures systematically from the aspects of the theoretical basis, transmission channels, economic effects and empirical research methods of the monetary policy spillovers. It is found that the explanatory power and the depth of research are not enough, while the research perspectives and approaches are limited in the existing literature. Then it comes up with the research ideas and framework of this thesis.Secondly, this thesis gives definitions of two important concepts of the QE and the spillover effect of monetary policy. Then, the four international transmission channels of monetary policy spillovers are analyzed from Mundell-Fleming Model, Dornbusch Overshooting Model, the new open economy macroeconomics and basic theory of international economic policy coordination, that are the transmission channels of exchange rate, interest rate, income and different pricing currency channels. Then it illuminates that the spillover effect of American QE is through the channels of the exchange rate, the interest rate, US income and international commodity prices. Then it studies the impact mechanisms of American QE on prices, international trades, international capital flows and outputs of China.Thirdly, employing the econometric techniques of SVAR model, ARDL and panel data analysis with FGLS, fixed effects and GMM approaches, this thesis conducts the in-depth empirical analyses of the spillover effects of American QE on China’s prices, trades, international capital flows and output s, including overall spillover effects, industrial spillover effects and spillover effects with cross-country comparisons respectively. It is shown that:(1) American QE depresses the overall price level in China, including CPI, PPI and IPI in China. Through the channel of exchange rate it has a more significant negative impact than the positive impacts through the channels of interest rate and international commodity prices on the prices of China. The results based on industrial analysis show that, through the channel of exchange rate, American QE has the most significant negative impact on the prices of capital-intensive industries in China.(2) in the short term, American QE does harm to the international trade in China, while, in the long run, it does good to export in China significantly. In addition, its impact on Sino-US bilateral trade is insignificant. Through the channel of exchange rate it has more significant negative impact on the export of China than the positive impacts through the channels of US income. Through the channel of international commodity prices, it decreases export while increases import of China.(3) American QE causes the volatility of short-term international capital flows of China on the increase. Short-term international capital flows are very sensitive to exchange rates as well as the exchange rate expectations. Overall, it makes contributions to attract FDI inflows of China. To be specific, it increases market-oriented FDI inflows, while decreasing the resource-oriented FDI inflows. However, through the both channels of exchange rate and interest rate, it has more significant impact on short-term international capital flows than on FDI inflows. Additionally, through the channels of exchange rate, it has significant positive impact on China’s FDI outflows.(4) American QE has more significant positive impact through the approach of FDI inflows than through the approach of price on the output of China, while it has positive but not significant impact on t he output of China through the approach of trade and short-term international capital flows. Results based on industrial empirical analysis show that it promotes the i ndustrial added value in China. However, it brings significant negative impacts differently on the growth rates of industrial added value in different industries in China. Moreover, it exerts different influence on different industries. The results show that, through the paths of price and trade, America quantitative easing monetary policy has a significant negative impact on the outputs of labor-intensive industries in China, while it brings less significant negative impact through the path of price on the outputs of capital-intensive industries in China, by contrast with the significant positive impact through the path of trade on the outputs of technology-intensive industries in China.Furthermore, taking into account the fact that the previous studies are based on partial equilibrium perspectives and post hoc tests, it is difficult to get the outlook on the comprehensive spillover effects of American QE on the transformation of the overall economic environments as well as microeconomic developments of the industries in China. Therefore, further analysis is made with the use of the extended version of computable general equilibrium model, depicting the behavior s of financial markets, reflecting the Sino-US economic relations to study the overall spillover effects of American quantitative easing monetary policy on the changes in the economic environments in China.Empirical results show that: in the macroeconomic view, in the short term, American QE mainly affects the labor market and international trade of China. To be specific, it causes significant fluctuations in China’s international trade. Still maintaining a trade surplus trend, but China is going slow in the growth speed of international trade with the impulse of looking for new overseas markets or expanding domestic demand. While in the long run, its main impact on the Chinese economy comes from shocks in the capital market. It will increase the amount of capit al flowing into China to some extent, leading to imported inflation( increased CPI). At the same time, it also increases risks and uncertainties in the investment market(e.g. some investment reflux, attempts to find other overseas markets). In the industrial views, industries are affected differently under the changed macroeconomic economic environments by American QE. On the whole, affected by American QE, China’s industrial structure, especially the trade structure will change. It will lead to impaired export enterprises in the short term, while in the long run it will help improve the competitiveness and capabilities of export enterprises.Finally, this thesis makes a summary of main findings. Then based on the results of previous studies, it puts forward policy proposals from the perspectives of four transmission channels of spillover effect as well as the perspectives of industrial variance. After that, it presents proposals for further research.更多还原