美国货币政策对中国的溢出效应与中美货币政策协调

发布时间：2018-06-18 02:11

本文选题：量化宽松货币政策 + 溢出效应　；参考：《武汉大学》2014年博士论文

【摘要】：在全球经济一体化与金融自由化的背景下,国家之间的经济依存度日益提高,一国制定的货币政策不仅可以调节本国经济的运行,而且还对其他国家的货币市场、资本市场、贸易市场等产生影响,并进一步影响其他国家的产出和通胀等实体经济变量,即产生货币政策的溢出效应。2008年以来,为应对全球性金融危机,以美国为代表的经济大国纷纷出台一系列非常规货币政策,这些政策在刺激本国经济复苏的同时,也会对其他国家和地区的金融市场、实体经济等产生影响。对经济联系密切的国家而言,为避免货币政策溢出效应的负面影响,需要各国央行在制定货币政策时更多考虑对其他国家的影响,加强货币政策领域的沟通、磋商和协调。针对这些问题,本文就美国货币政策对我国溢出效应的存在性、量化宽松货币政策实施前后美国货币政策对中国的溢出效应的变化、中美货币政策协调的必要性、中美货币政策协调的现实因素与障碍、协调模式进行了研究。全文共分七章：第一章介绍了本文的研究背景与研究意义,并总结了国内外研究现状。对货币政策溢出效应的已有研究主要为实证研究,本文总结了货币政策溢出效应研究的方法和内容,以及量化宽松货币政策实施以后货币政策溢出效应研究的新动向；对货币政策协调的研究主要是通过理论模型的推导实现的,研究的重点包括国际货币政策协调的效果、协调收益与成本的来源以及增强协调效果的途径等。金融危机爆发以来,理论界进一步分析了危机对已有协调政策的冲击以及危机中所采取的应急性协调政策的效果,并探讨了金融危机后国际货币政策协调的方向。本文根据选题要求,借鉴已有研究的思路和方法,提出了本文的研究内容、思路和方法,并提炼出本文对已有研究的补充和发展,即本文的创新点。第二章介绍开放经济学研究的两个框架,并比较了其在货币政策溢出效应、货币政策协调研究上的适用性。本文首先介绍了蒙代尔-弗莱明-多恩布什(M-F-D)研究框架和新开放经济宏观经济学(NOEM)框架的基准模型、理论意义。接着,本文介绍了两种模型分别对货币政策溢出效应和货币政策协调的研究的内容和特点,比较了两种框架对两方面研究的适用性。由于NOEM模型具备较好的微观基础、模型变化较为灵活,能很好地模拟的实际经济环境变动,因此现有货币政策溢出效应研究较多地采用了NOEM模型,但在分析货币政策溢出效应的途径时,由于M-F-D模型所提供的思路更为直接明确,因而也被广泛使用；但对于货币政策协调的研究,由于NOEM模型具备完善的微观基础和福利分析能力、可用于对特定国家的分析和研究,且具有较强的扩展能力,因而是货币政策协调研究的主要分析框架。第三章就美国币政策对中国溢出效应进行了实证检验。本文引入了货币政策溢出效应基准模型,并从模型选取了实证变量、推导了变量之间的相互关系。实证结果表明,当美国实行扩张型货币政策时,对我国产出、通胀均产生正向冲击。此后,本文根据文献总结结论和模型推导得到的变量关系,研究了美国货币政策对我国溢出效应的途径,主要为利率和货币供应量途径、汇率和国际贸易途径、国际投资和资本流动途径,其中对我国产出的影响主要是通过国际贸易途径实现的；而对我国通胀的影响主要是通过利率和货币供应量途径实现的。第四章分析了量化宽松货币政策(QE)前后美国货币政策对我国溢出效应的变化,并解释了这一变化的原因。对我国产出的脉冲响应结果表明,在QE政策实施前,当美联储扩张其总资产规模时,我国产出先出现下降,长期中超过初始产出水平；而在QE政策实施后,当美联储扩张其总资产规模时,我国产出立刻出现下降,但此后迅速回升并超过原有水平,新的均衡值高于初始产出水平。对我国通货膨胀的脉冲响应结果表明,QE政策实施前,当美联储扩张其总资产规模时,我国物价出现短时下降,达到最低点后迅速回升,长期中价格远高于初始水平；而在QE政策实施后,当美联储扩张其总资产规模时,我国价格迅速上升,在第二期达到高点后出现短暂下降,此后迅速回升至新的高点。量化宽松货币政策除了第三章所提到的三种途径外,还通过影响公众的预期(尤其是价格预期)和央行、企业资产负债表产生溢出效应。第五章从社会福利角度对中美货币政策协调的必要性进行了研究。本文扩展了新开放宏观经济学的新区域模型,建立了以中美两国经济为背景的两国DSGE模型,通过数值模拟分析了货币政策协调的潜在福利收益及其影响因素。数值模拟结果表明,各情形下实行中美货币政策协调后,中国福利损失都有所减小、产生正的福利收益,而美国福利损失有所增大、产生负的福利收益。两国总体福利收益取决于两国福利收益的相对大小,经数值模拟计算,中美货币政策协调最大负向总收益为稳态消费的-0.4%,最大正向总收益为稳态消费的0.65%,由于中美货币政策协调会增大美国福利损失,美国货币政策协调意愿较弱。第六章探讨了中美货币政策协调的适用模式。本文总结了布雷顿森林体系解体以来各国货币政策协调的实践其相应的特点,继而介绍了金融危机以来货币政策协调的举措和政策效果。在此基础上,本文总结了货币政策协调的内容与方式、中美开展货币政策协调的条件与障碍,并进一步归纳了中美货币政策协调模式：短期内,中美应采取兼具规则协调和相机协调优点的混合型货币政策协调机制,而在长期,中美应该就基于超主权货币的中美目标汇率区协调机制进行探索和尝试。第七章对全文进行总结,概括了全文文献总结、理论推导、实证分析、数值模拟的结论,并提出了相应的政策建议和未来研究方向。
[Abstract]:Under the background of global economic integration and financial liberalization, the degree of economic dependence between countries is increasing. The monetary policy formulated by one country can not only regulate the operation of its own economy, but also influence the currency market, capital market and trade market of other countries, and further influence the output and inflation of other countries. The spillover effect of the real economy, that is, the spillover effect of monetary policy in.2008, has issued a series of unconventional monetary policies in order to cope with the global financial crisis. These policies, while stimulating the recovery of the country's economy, will also affect the financial market and the real economy of other countries and regions. For countries with close economic ties, in order to avoid the negative effects of monetary policy spillovers, central banks need more consideration of the impact on other countries in formulating monetary policy, strengthen communication, consultation and coordination in the field of monetary policy. In this paper, the existence and quantity of the spillover effect of American monetary policy on China is given. The changes in the spillover effect of American monetary policy on China before and after the implementation of the monetary policy, the necessity of the coordination of monetary policy between China and the United States, the realistic factors and obstacles of the coordination of monetary policy in China and the United States, and the mode of coordination are studied. The full text is divided into seven chapters.
The first chapter introduces the research background and significance of this paper, and summarizes the current research status at home and abroad. The existing research on the spillover effect of monetary policy is mainly empirical research. This paper summarizes the methods and contents of the research on the spillover effect of monetary policy, and the new movement of the research on the spillover effect of the monetary policy after the implementation of the quantitative loose monetary policy. The research mainly focuses on the effect of the coordination of international monetary policy, the source of the coordination of revenue and cost and the way to enhance the coordination effect. Since the outbreak of the financial crisis, the theoretical circle has further analyzed the impact of the crisis on the existing coordination policy and the impact of the crisis and the impact of the crisis on the existing coordinated policies. The effect of the acute coordination policy adopted in the crisis is taken, and the direction of international monetary policy coordination after the financial crisis is discussed. Based on the requirements of the topic and the existing research ideas and methods, this paper puts forward the research contents, ideas and methods of this paper, and extracts the supplement and development of the existing research, that is, the innovation point of this article.
The second chapter introduces the two framework of the study of open economics, and compares its applicability in the study of monetary policy spillover effect and monetary policy coordination. This paper first introduces the reference model of Mundell Fleming Dombush (M-F-D) research framework and the new open economic Macroeconomics (NOEM) framework, and the theoretical significance. This paper introduces the contents and characteristics of the two models for the study of monetary policy spillover effect and monetary policy coordination respectively, and compares the applicability of the two frameworks to the study of the two aspects. Because the NOEM model has a better microcosmic basis, the model changes are more flexible, and the actual economic environment changes can be well simulated, so the existing monetary policy spillovers are spillover. The NOEM model is widely used in the study of effect, but in the analysis of the way of the spillover effect of monetary policy, the ideas provided by the M-F-D model are more direct and therefore widely used, but the research on the coordination of monetary policy can be used for a specific country because the NOEM model has a perfect microcosmic basis and a welfare analysis ability. The analysis and research, and the strong expansion ability, are the main analytical framework of monetary policy coordination research.
The third chapter examines the spillover effect of the American currency policy on China's spillover effect. This paper introduces the benchmark model of the spillover effect of monetary policy, and selects the empirical variables from the model and deduces the relationship between the variables. The empirical results show that when the United States implements the expansionary monetary policy, it has a positive impact on our country's output and inflation. Then, based on the conclusion of the literature and the relationship between the variables derived from the model, this paper studies the approaches to the spillover effect of American monetary policy on China, mainly interest rate and money supply, exchange rate and international trade approach, international investment and capital flow way. Now, the impact on inflation in China is mainly achieved through interest rate and money supply.
The fourth chapter analyzes the changes in the spillover effect of American monetary policy before and after the quantitative easing monetary policy (QE), and explains the reason for this change. The result of the impulse response to our home made shows that, before the implementation of the QE policy, when the Federal Reserve expanded its total assets, I made a decline first and exceeded the initial output of water for a long time. After the implementation of the QE policy, when the Federal Reserve expanded its total assets, I made an immediate decline, but then quickly recovered and exceeded its original level. The new equilibrium value was higher than the initial output level. The impulse response to China's inflation showed that the Federal Reserve expanded its total assets before the Federal reserve expanded its total assets. After the implementation of the QE policy, when the Federal Reserve expanded its total assets, the price of our country rose rapidly, and a brief decline after the second period reached a high point. The three way mentioned in the three chapter also has spillover effects on the expectation of the public (especially price expectation) and the central bank and the enterprise balance sheet.
The fifth chapter studies the necessity of monetary policy coordination between China and the United States from the perspective of social welfare. This paper extends the new open macroeconomics new area model, establishes the two countries' DSGE model with the background of China and the United States, and analyses the potential benefits and its influencing factors of monetary policy coordination through numerical simulation. The results show that, after the implementation of the monetary policy coordination between China and the United States, the loss of welfare in China has been reduced, and the welfare income is positive, while the loss of welfare in the United States has increased, producing negative benefits. The overall welfare income of the two countries depends on the relative size of the benefits of the two countries. The maximum negative coordination of monetary policy in China and the United States has been calculated by numerical simulation. The maximum positive total income is 0.65% of the steady consumption to the -0.4% with the total income as the steady consumption. Because the monetary policy coordination of China and the United States will increase the loss of the United States welfare, the coordination will of the US monetary policy is weak.
The sixth chapter discusses the applicable mode of monetary policy coordination between China and the United States. This article summarizes the corresponding characteristics of the practice of monetary policy coordination in the Bretton Woods system since the disintegration of the Bretton Woods system, and then introduces the measures and effects of monetary policy coordination since the financial crisis. On this basis, this paper summarizes the contents and parties of monetary policy coordination. China and the United States carry out the conditions and obstacles of monetary policy coordination, and further sum up the Sino US monetary policy coordination model. In the short term, China and the United States should adopt a mixed monetary policy coordination mechanism with the advantages of both regular coordination and camera coordination. In the long run, China and the United States should carry out the Sino US target exchange rate zone coordination mechanism based on the supersovereign currency. Explore and try.
The seventh chapter summarizes the full text, summarizes the conclusion of the full text literature, the theoretical deduction, the empirical analysis, the conclusion of the numerical simulation, and puts forward the corresponding policy suggestions and future research direction.
【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F827.12;F822.0

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