日本量化宽松货币政策对中国的溢出效应研究

发布时间：2018-03-23 09:03

本文选题：日本　切入点：量化宽松货币政策　出处：《辽宁大学》2014年硕士论文　论文类型：学位论文

【摘要】：2008年国际金融危机发生后,日本、美国、欧盟地区等发达经济体为应对全球范围内的金融危机,摆脱国内的经济低迷状态,普遍采取了以量化宽松为主的刺激经济的政策,以缓解国内经济衰退及通货紧缩。近两年来,在美国正在逐步退出量化宽松货币政策的同时,日本则一直在强调“在通货膨胀稳定在2%的目标实现之前,将继续推行量化宽松政策”。日本作为量化宽松货币政策的首创国家,它的实践经验非常值得我们借鉴。同时,日本与中国贸易联系紧密,其量化宽松货币政策对我国必然造成影响。这种溢出效应的作用方向、影响程度以及溢出效应的渠道问题值得我们深入探讨。面临世界主要经济体频繁的量化宽松货币政策操作以及世界范围的经济危机的冲击,我国如何积极应对并尽量消除负的溢出效应是亟待解决的问题。本文首先介绍了量化宽松货币政策的涵义,分析了货币政策溢出效应的传导渠道。在详细阐述日本量化宽松货币政策的实践基础上,从理论层面分析了日本量化宽松对我国经济造成的溢出效应,并运用计量经济模型重点对日本量化宽松货币政策对我国实体经济的影响方向、影响程度、影响时间进行量化分析,并力图将分析结果进行总结,以提出合理恰当的政策建议。本文重点对日本量化宽松货币政策对我国经济的溢出效应进行实证分析,借助VAR模型,构建了包含六个变量的向量自回归模型。本文选取了我国国内生产总值、对日进出口总额、大宗商品价格指数、银行间同业拆借利率及外汇储备等五个经济变量作为日本量化宽松货币政策实施的作用变量。通过对VAR模型中时间序列的平稳性检验、协整关系检验,并对模型的脉冲响应函数进行分析。得出了以下结论：日本量化宽松货币政策对我国的溢出效应的确存在,对我国GDP、对日进出口总额TEV、银行间同业拆借利率SHIBOR、外汇储备量FER的影响方向为正负交替。因此,日本量化宽松会对我国GDP、进出口总额的平稳增长产生不利的影响；对我国利率、外汇储备的稳定也会产生不利的影响。日本量化宽松货币政策对我国的大宗商品价格指数CCPI的影响方向大致为负,会造成我国大宗商品价格的下跌。因此,日本实施量化宽松货币政策,会通过贸易产出渠道、利率渠道、汇率渠道、国际大宗商品价格渠道等对我国产生溢出效应,对我国的经济平稳、健康的增长带来不利的影响。
[Abstract]:After the international financial crisis occurred in 2008, developed economies such as Japan, the United States, the European Union and other developed economies, in order to cope with the global financial crisis and extricate themselves from the domestic economic downturn, generally adopted a policy of stimulating the economy with quantitative easing as the main factor. To ease domestic recession and deflation. Over the past two years, while the United States has been phasing out its quantitative easing monetary policy, Japan has been emphasizing that "until inflation stabilizes at 2 percent," Japan, as the first country of quantitative easing monetary policy, its practical experience is very worthy of our reference. At the same time, Japan and China have close trade ties. Its monetary policy of quantitative easing will inevitably have an impact on our country. The extent of the impact and the channels of spillover effects deserve further discussion. Faced with the impact of frequent quantitative easing monetary policy operations in the world's major economies and the worldwide economic crisis, How to actively deal with and eliminate negative spillover effect is an urgent problem in China. This paper first introduces the meaning of quantitative easing monetary policy, analyzes the transmission channel of monetary policy spillover effect. This paper analyzes the spillover effect of Japanese quantitative easing on China's economy from a theoretical perspective, and applies econometric model to focus on the direction and extent of the impact of Japan's quantitative easing monetary policy on China's real economy. The influence time is analyzed quantitatively, and the analysis results are summarized in order to put forward reasonable and appropriate policy suggestions. This paper focuses on the empirical analysis of the spillover effect of Japan's quantitative easing monetary policy on China's economy. With the help of VAR model, a vector autoregressive model with six variables is constructed. The five economic variables, such as total import and export, commodity price index, interbank offered rate and foreign exchange reserve, are used as the action variables of Japan's monetary policy of quantitative easing. The stability of time series in VAR model is tested. The test of cointegration relation and the analysis of the impulse response function of the model are made. The following conclusions are obtained:. The spillover effect of Japan's quantitative easing monetary policy on China does exist. For our country, the total import and export to Japan, the interbank offered rate (IBOR) and the foreign exchange reserve (FER) influence direction is positive or negative alternately. Japan's quantitative easing will have a negative impact on the steady growth of China's GDP and imports and exports; on China's interest rates, The stability of foreign exchange reserves will also have a negative impact. The impact of Japan's quantitative easing monetary policy on China's commodity price index (CCPI) is roughly negative, which will result in a decline in China's commodity prices. The implementation of quantitative easing monetary policy in Japan will have spillover effect on our country through trade output channel, interest rate channel, exchange rate channel, international commodity price channel and so on, which will bring adverse effect to the steady and healthy growth of our economy.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F823.13;F124

【参考文献】