美国货币政策正常化对中国的溢出效应:资本使用者成本视角

发布时间：2018-01-04 18:05

本文关键词：美国货币政策正常化对中国的溢出效应:资本使用者成本视角　出处：《新金融》2017年01期 　论文类型：期刊论文

【摘要】：本文将资本使用者成本分析框架运用到开放经济条件,进而分析美国非常规货币政策的溢出渠道。可以发现,如果美国退出量化宽松与前瞻指引等非常规货币政策,那么预期美国短期利率上升、金融加速器渠道与美国国债的期限溢价增加使得中国的长期利率提升,但是人民币风险溢价下降促使中国的长期利率下降。应用向量误差修正模型实证检验,脉冲响应结果表明,美国退出非常规货币政策对中国的长期利率具有显著的溢出效应:美国长期利率对中国长期利率产生正向影响,但是影响程度不大,并且这一研究结论具有稳健性。这一研究结论的政策含义是,为了防止美联储非常规货币政策退出对金融市场的影响,中国应该加快推动经济结构调整,发展金融市场,使得资金流向具有效率的生产部门,保持经济中高速增长,强化国际资本流入的拉动因素,并辅以审慎的资本管制,改善宏观经济政策与金融政策框架,以缓解国际资本流动逆转给中国金融市场与宏观经济带来的冲击。
[Abstract]:The user cost of capital framework applied to the open economy, and then analyzes the overflow channel of unconventional monetary policy in the United States. It can be found that if the United States withdraw from quantitative easing and forward-looking guidance and other unconventional monetary policy, expected short-term U.S. interest rates rise, the financial accelerator channel and Treasurys, the term premium increases in long-term interest rates Chinese promotion however, the RMB risk premium decline prompted long-term interest rates decline. China application of vector error correction model empirical test, impulse response results show that from the long-term interest rates of unconventional monetary policy on the China has significant spillover effects: long-term US interest rates have a positive effect on long-term interest rates Chinese, but the degree of influence is small, and the conclusion of this study robust. The policy implications of this research conclusion is that in order to prevent the Fed's unconventional goods From the monetary policy impact on financial markets, China should accelerate the adjustment of economic structure, development of the financial market, the capital flows with the efficiency of the production sector, maintain rapid economic growth, strengthen the pull factors of international capital inflows, supplemented by prudent capital control, improving macroeconomic and financial policy framework to ease international the capital flow reversal brought Chinese financial market and macroeconomic impact.

【作者单位】：天津财经大学金融系;湖南商学院数学与统计学院;天津财经大学研究生院;
【基金】：国家社科基金重大项目“中拉关系及对拉战略研究”(15Z D A067) 天津市科技计划项目“天津市实施创新驱动发展战略中金融支持战略研究”(15ZLZLZF00650)课题支持
【分类号】：F827.12;F124
【正文快照】： 引言国际金融危机爆发之后,美国的批发融资市场出现流动性紧缩,零售融资市场出现动荡,影响货币政策的传导,同时,美国的货币政策受到零利率下限的约束。在这种情况之下,为了改善融资环境,刺激经济复苏,美联储不得不求助于非常规货币政策,运用包括量化宽松政策与前瞻指引1非常规

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