次贷危机后美国货币政策调整对中国经济的溢出效应——基于TVP-VAR模型的实证研究

发布时间：2018-04-19 18:50

  本文选题：美国货币政策 + QE退出　； 参考：《学术探索》2017年01期

【摘要】：本文选取2008年9月至2015年10月的月度数据,采用时变参数向量自回归模型(TVP-VAR)的技术方法,从利率、汇率、贸易产出三个传导渠道研究了金融危机之后美国货币政策调整对中国经济的溢出效应。实证结果表明,美联储货币政策对中国的产出、利率、汇率以及进出口贸易均存在溢出效应,且溢出效应在不同政策阶段下存在显著差异。基于此,本文提出了加快经济转型和产业结构调整、推进人民币国际化进程、促进金融体系改革等政策建议,以稳定国内经济环境,提升国家抵御外部金融冲击的能力。
[Abstract]:This paper selects the monthly data from September 2008 to October 2015, adopts the time-varying parameter vector autoregressive model (TVP-VARA), from interest rate, exchange rate, Three transmission channels of trade output studied the spillover effect of American monetary policy adjustment on Chinese economy after the financial crisis. The empirical results show that there are spillover effects of Fed monetary policy on China's output, interest rate, exchange rate and import and export trade, and there are significant differences in spillover effects in different policy stages. Based on this, this paper puts forward some policy suggestions, such as speeding up economic transformation and industrial structure adjustment, promoting the process of RMB internationalization and promoting the reform of financial system, so as to stabilize the domestic economic environment and enhance the ability of the country to resist external financial shocks.
【作者单位】： 武汉大学经济与管理学院;
【分类号】：F827.12;F124
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本文编号：1774287