美国逆周期货币政策对中国经济的影响研究

发布时间：2018-03-15 20:26

本文选题：逆周期货币政策　切入点：溢出效应　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：2008年11月到2013年12月,为了刺激次贷危机爆发后低迷的美国经济,美联储先后通过四轮量化宽松政策,在低利率的基础上主动释放流动性,美国经济因此开始缓慢复苏。2013年12月19日,因为美国经济复苏迹象明显,美联储宣布将逐步压缩债券购买计划规模,美国货币政策开始转向。由此观之,美国的货币政策操控带有明显逆经济周期风向的特征。在中美贸易和金融往来日益密切的大背景下,研究美国逆周期货币政策的溢出效应及对中国经济的影响有助于风险预防和政策制定。文章从理论和实证两个方面对美国逆周期货币政策的溢出效应及对中国经济的影响进行了综合分析。理论研究方面,介绍了蒙代尔弗莱明(M-F)模型、新开放宏观经济学(NOEM)模型以及DSGE模型的理论基础,在随后的实证和政策结论方面是基于这些理论基础的；实证研究方面,一是运用多元GARCH模型对美国量化宽松货币政策环境下,中美资产价格波动相关性进行实证分析,根据相关系数图指出：在量化宽松货币环境下,中美资产价格有着正向的波动溢出效应；二是建立开放经济粘性价格两国DSGE模型,引入美国货币供应量的外部冲击,通过随机模拟计算得到经济的动态冲击响应曲线.实证结果是：美国货币供应量正向冲击下,对中国总产出水平和物价水平是正效应,同时会在短期会导致人民币升值和贸易条件改善；三是通过建立VAR模型,依据宏观经济数据,对美国逆周期货币政策对中国经济的影响进行宏观方面实证研究,求出脉冲响应图和方差分解图,实证结果为：美国退出量化宽松政策有助于缓解通胀压力,同时只会对中国的经济发展产生轻微的不利影响。最后,并针对可能带来的溢出效应,提出政策建议。
[Abstract]:From November 2008 to December 2013, in order to stimulate the US economy, which was depressed after the outbreak of the subprime mortgage crisis, the Federal Reserve took the initiative to release liquidity on the basis of low interest rates through four rounds of quantitative easing. The U.S. economy has thus begun to recover slowly. On December 19th 2013, when the Federal Reserve announced that it would gradually reduce the size of its bond-buying program because of the clear signs of recovery in the United States, U.S. monetary policy began to shift. Monetary policy manipulation in the United States is characterized by a marked reversal of the economic cycle. Against the backdrop of growing trade and financial ties between China and the United States, To study the spillover effect of American countercyclical monetary policy and its impact on China's economy is helpful to risk prevention and policy making. This paper studies the spillover effect of US countercyclical monetary policy from both theoretical and empirical aspects and its impact on China's economy. Comprehensive analysis of the impact of the economy. Theoretical research, This paper introduces the theoretical basis of the Mundell Flemming model, the neo-open macroeconomics model and the DSGE model, which are based on these theoretical foundations in the following empirical and policy conclusions. The first is to make an empirical analysis on the correlation of asset price volatility between China and the United States in the context of quantitative easing monetary policy by using the multivariate GARCH model. According to the correlation coefficient diagram, it is pointed out that in the context of quantitative easing money, Asset prices in China and the United States have positive volatility spillover effects. Second, the DSGE model of open economy viscous price is established to introduce the external impact of the US money supply. The dynamic shock response curve of the economy is obtained by stochastic simulation. The empirical results are as follows: under the positive impact of the American money supply, the positive effect on the total output level and price level of China is positive. At the same time, it will lead to the appreciation of RMB and the improvement of terms of trade in the short term. Thirdly, through the establishment of VAR model, according to macroeconomic data, an empirical study on the impact of countercyclical monetary policy on China's economy in the United States is carried out. The impulse response diagram and variance decomposition diagram are obtained. The empirical results are as follows: the withdrawal of the quantitative easing policy from the United States will help alleviate inflationary pressures and will only have a slight adverse impact on China's economic development. And in view of the possible spillover effect, policy recommendations are put forward.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F827.12;F124

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