美国量化宽松货币政策对中美贸易的溢出效应分析
发布时间：2019-06-17 18:47
【摘要】：自2006年春季起,美国次贷危机逐渐显露,2007年8月世界范围的各大金融市场也陆续受到了冲击,各国当局纷纷颁布对应的宏观调控政策。但是,很快的,“凯恩斯流动性陷阱”随之而来,常规经典的货币调控工具失灵,在此背景下,量化宽松货币政策作为一种创新型、非传统宏观调控手段被美联储所采纳。2008年11月25日,美国量化宽松政策正式开启,以美联储宣布购入抵押支持证券和机构债为开端,在4轮QE政策后,自2014年1月起,美联储开始削减购债规模,标志着量化宽松货币政策的逐步退出。 自2001年我国加入WTO,2005年实行汇改,我国与世界经济联系更加紧密,美联储QE政策的实施及退出势必对中国产生一系列影响。截止到2013年,中美两国仍互为对方第二大贸易伙伴,截止到2014年4月末,中国是美国最大的进口商品来源地,第三大出口目的地,同时也是10多年来增长速度最快的对外出口市场。所以,研究美国QE政策对中美贸易的溢出效应是重要且必要的。欧债危机以来,欧盟启动了“欧版量化宽松货币政策”,日本在2013年4月初也决议施行“质化量化宽松货币政策”,本文的研究也将为之后我国应对欧盟和日本的量化宽松政策提供相应的借鉴参考。 本文针对中美贸易进行研究,并且把时间跨度延伸,从量化宽松政策的前奏到逐渐退出的今日,利用向量自回归VAR模型研究美国QE政策对中美贸易的溢出效应。首先,综合参考现有的研究成果,本文给出了与传统货币政策比较下、与数量宽松和信贷宽松比较下美国量化宽松政策的定义。其次,系统地给出了4轮QE政策及其退出政策的起止时间和内容,并简要回顾了其产生的效果。然后,进行量化宽松政策对中美贸易溢出效应的现实分析,分别从汇率、国际大宗商品价格、利率、外商直接投资、美国经济复苏等角度研究QE政策对中美贸易的影响,本文认为这些溢出效应不仅仅只对我国产生消极影响,要遵从全球经济态势演变,从正反两方面、短期和长期多角度加以考虑。接下来,根据之前的理论分析,从计量统计的角度,对量化宽松货币政策对中美贸易溢出效应进行实证分析,本文建立向量自回归VAR模型,进行方差分解和建立脉冲响应函数对美国QE政策对中美贸易的溢出效应进行复杂全面的动态分析,得出在众多选定指标中,国际大宗商品价格、美联储总资产增加、外商直接投资等对中美贸易的影响最为显著。最后,结合分析结果,从5个方面给出我国相应的政策建议,包括减弱国际大宗商品价格波动的冲击、合理监管和引导国际资金流动、经济转型形成竞争新优势、积极推进人民币国际化、提升金融战略能力等。
[Abstract]:Since the spring of 2006, the subprime mortgage crisis in the United States has gradually emerged, and the major financial markets around the world have been hit one after another in August 2007. The authorities of various countries have promulgated the corresponding macro-control policies one after another. However, soon, the Keynes liquidity Trap followed, and the conventional classic monetary control tools failed. In this context, quantitative easing monetary policy as an innovative, non-traditional macro-control means adopted by the Federal Reserve. On November 25, 2008, quantitative easing policy in the United States officially opened, starting with the Fed announced the purchase of mortgage-backed securities and institutional debt, after four rounds of QE policy, since January 2014, The Fed began to cut back on bond purchases, marking a gradual withdrawal from quantitative easing monetary policy. Since China joined the WTO, in 2001 and implemented the exchange rate reform in 2005, China has closer ties with the world economy. The implementation and withdrawal of the QE policy of the Federal Reserve is bound to have a series of effects on China. As of 2013, China and the United States were each other's second-largest trading partners. By the end of April 2014, China was the largest source of imports from the United States, the third largest export destination, and the fastest-growing foreign export market in more than a decade. Therefore, it is important and necessary to study the spillover effects of US QE policy on Sino-US trade. Since the European debt crisis, the European Union has launched the European version of quantitative easing monetary policy, and Japan also decided to implement the "qualitative quantitative easing monetary policy" in early April 2013. This study will also provide a reference for China to deal with the quantitative easing policy of the European Union and Japan in the future. In this paper, the trade between China and the United States is studied, and the time span is extended, from the prelude to quantitative easing policy to the gradual withdrawal today, using vector autoregression VAR model to study the spillover effect of American QE policy on Sino-US trade. First of all, referring to the existing research results, this paper gives the definition of quantitative easing policy in the United States compared with traditional monetary policy and quantitative easing and credit easing. Secondly, the starting and ending time and content of the four rounds of QE policy and its exit policy are given systematically, and the effects of the policy are briefly reviewed. Then, this paper makes a realistic analysis of the trade spillover effects of quantitative easing on China and the United States, and studies the impact of QE policy on Sino-US trade from the perspectives of exchange rate, international commodity prices, interest rates, foreign direct investment, and US economic recovery. This paper holds that these spillover effects not only have a negative impact on China, but also comply with the evolution of the global economic situation, and consider them from both positive and negative angles. Next, according to the previous theoretical analysis, from the perspective of econometric statistics, this paper makes an empirical analysis of the spillover effects of quantitative easing monetary policy on Sino-US trade. This paper establishes the vector autoregression VAR model, carries on the variance decomposition and establishes the impulse response function to carry on the complex and comprehensive dynamic analysis to the spillover effect of the US QE policy to the Sino-US trade, and draws the conclusion that among many selected indicators, the international commodity prices, The increase in total assets of the Federal Reserve and foreign direct investment have the most significant impact on Sino-US trade. Finally, combined with the results of the analysis, this paper gives the corresponding policy suggestions from five aspects, including weakening the impact of international commodity price fluctuations, reasonably supervising and guiding international capital flows, forming a new competitive advantage in economic transformation, actively promoting the internationalization of RMB, improving the financial strategic ability, and so on.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F827.12;F752.7
本文编号：2501184
[Abstract]:Since the spring of 2006, the subprime mortgage crisis in the United States has gradually emerged, and the major financial markets around the world have been hit one after another in August 2007. The authorities of various countries have promulgated the corresponding macro-control policies one after another. However, soon, the Keynes liquidity Trap followed, and the conventional classic monetary control tools failed. In this context, quantitative easing monetary policy as an innovative, non-traditional macro-control means adopted by the Federal Reserve. On November 25, 2008, quantitative easing policy in the United States officially opened, starting with the Fed announced the purchase of mortgage-backed securities and institutional debt, after four rounds of QE policy, since January 2014, The Fed began to cut back on bond purchases, marking a gradual withdrawal from quantitative easing monetary policy. Since China joined the WTO, in 2001 and implemented the exchange rate reform in 2005, China has closer ties with the world economy. The implementation and withdrawal of the QE policy of the Federal Reserve is bound to have a series of effects on China. As of 2013, China and the United States were each other's second-largest trading partners. By the end of April 2014, China was the largest source of imports from the United States, the third largest export destination, and the fastest-growing foreign export market in more than a decade. Therefore, it is important and necessary to study the spillover effects of US QE policy on Sino-US trade. Since the European debt crisis, the European Union has launched the European version of quantitative easing monetary policy, and Japan also decided to implement the "qualitative quantitative easing monetary policy" in early April 2013. This study will also provide a reference for China to deal with the quantitative easing policy of the European Union and Japan in the future. In this paper, the trade between China and the United States is studied, and the time span is extended, from the prelude to quantitative easing policy to the gradual withdrawal today, using vector autoregression VAR model to study the spillover effect of American QE policy on Sino-US trade. First of all, referring to the existing research results, this paper gives the definition of quantitative easing policy in the United States compared with traditional monetary policy and quantitative easing and credit easing. Secondly, the starting and ending time and content of the four rounds of QE policy and its exit policy are given systematically, and the effects of the policy are briefly reviewed. Then, this paper makes a realistic analysis of the trade spillover effects of quantitative easing on China and the United States, and studies the impact of QE policy on Sino-US trade from the perspectives of exchange rate, international commodity prices, interest rates, foreign direct investment, and US economic recovery. This paper holds that these spillover effects not only have a negative impact on China, but also comply with the evolution of the global economic situation, and consider them from both positive and negative angles. Next, according to the previous theoretical analysis, from the perspective of econometric statistics, this paper makes an empirical analysis of the spillover effects of quantitative easing monetary policy on Sino-US trade. This paper establishes the vector autoregression VAR model, carries on the variance decomposition and establishes the impulse response function to carry on the complex and comprehensive dynamic analysis to the spillover effect of the US QE policy to the Sino-US trade, and draws the conclusion that among many selected indicators, the international commodity prices, The increase in total assets of the Federal Reserve and foreign direct investment have the most significant impact on Sino-US trade. Finally, combined with the results of the analysis, this paper gives the corresponding policy suggestions from five aspects, including weakening the impact of international commodity price fluctuations, reasonably supervising and guiding international capital flows, forming a new competitive advantage in economic transformation, actively promoting the internationalization of RMB, improving the financial strategic ability, and so on.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F827.12;F752.7
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