美国利率政策对中国经济的外溢效应研究

发布时间：2017-12-26 18:45

本文关键词：美国利率政策对中国经济的外溢效应研究　出处：《华东师范大学》2017年博士论文　论文类型：学位论文

【摘要】：近年来,随着全球经济一体化进程的不断深化,国际经济与金融形成一个相互联系的有机整体。商品与资本的跨境流通加速,使各国货币政策相互影响,溢出效应明显。美国作为世界第一大经济体,在全球经济中居主导地位,其货币政策变化除影响本国经济运行外,还会对世界上其他国家的经济产生重要影响。同时,在当前的世界经济格局与全球货币体系中,美元无疑是大多数国家最主要的储备货币,因此美国货币政策冲击会对全球其他经济体产生更为显著的影响。2015年12月16日,美国联邦储备局宣布上调联邦基金利率25个基点,目标利率将维持在0.25%至0.50%之间,其货币政策由宽松转向紧缩。时隔一年,在北京时间2016年12月15日,美联储又宣布加息25个基点,将联邦基金目标利率上调至0.5%-0.75%之间,这是继美国实行零利率政策以来的第二次加息。在全球经济与金融一体化的大背景下,美联储货币政策调整势必对世界经济产生深远影响,对各国央行货币政策制定提出挑战。本文采取实证分析与理论分析相统一的研究框架,来探究美国利率政策调整对中国经济的外溢效应。通过历史经验分析与VAR模型的实证分析,得到美国利率政策冲击之下中国经济的经验特征。然后,根据实证分析所得特征事实,结合中国经济和货币政策实践的特点,构建了一个新开放经济动态随机一般均衡(NOE-DSGE)模型,来研究美联储加息对中国经济的影响及其传导机制。从1990年1月至2008年12月,美国大致经历了3轮完整的利率周期,分别为:1994年1月至1998年11月利率周期、1999年7月-2003年6月利率周期、2004年4月-2008年11月利率周期。从20世纪90年代至今,美联储经历了4次加息进程。美联储加息进程一般始于经济企稳复苏,就业状况逐渐好转,就业率表现良好,通货膨胀率开始回升并超过目标通胀率(临界点通常为2%),且伴随着较强的趋势性上升。当经济由过热转冷,通货膨胀预期趋于合理,通胀率出现下降时,加息周期结束。随着中国经济开放度的逐步提升,中美利率政策与宏观经济的联动性不断加强,美国利率政策调整对中国经济的影响更趋复杂。基于向量自回归(VAR)模型的实证分析显示,在美国利率一个标准差大小的正向冲击之下,联邦基金利率不断上升,作用效果较为显著,持续时间较长。国内利率随之持续上升,但相较与联邦基金利率,国内利率变化幅度较小,持续时间较短。联邦基金利率冲击对中国产出在短期内产生了较强的正向溢出效应,在中期则产生了一定负向溢出效应,而在长期则影响式微。美联储加息将使得中国在短期内出现较严重的通胀效应,人民币名义汇率在短期出现大幅贬值趋势,中后期则出现小幅升值趋势。官方外汇储备出现暂时下降趋势,表明货币当局的汇率政策为"逆风而行"的干预政策。国内货币供应量在短期出现小幅下降,之后开始回升到正向水平,表明央行汇率干预政策为"非冲销"式,汇率的干预使得外汇占款同时发生变化。国际石油价格在短期大幅上升,之后逐渐回落;表明美联储加息后,供给成本增加,国内通胀压力加大。基于上述特征事实,结合中国经济和货币政策实践的特点,本文构建了一个新开放经济动态随机一般均衡(NOE-DSGE)模型,来研究美联储加息对中国经济的影响及其传导机制。本文的创新在于,在基准理论模型中包含了跨境资本流动管制,考虑了实体经济与金融部门中存在的金融摩擦,引入了两类金融加速器。同时,基于央行不断进入外汇市场对汇率变化进行直接干预,从而造成外汇占款不断增加的现实,本文将货币当局资产负债表嵌入模型动态系统,刻画这一重要特征;另外,根据中国当前货币政策操作的实际情况,采用数量型货币政策规则,并包含了汇率目标(或汇率目标区间),货币当局可据此进行间接干预以保持汇率稳定。对以上新开放经济动态随机一般均衡(NOE-DSGE)模型进行求解,然后对模型参数进行校准与贝叶斯估计,最后通过数值模拟,分析了美联储加息对中国经济的影响及其传导机制。通过将理论模型与VAR模型进行比较可知,美国利率、中国利率、国内生产总值、货币供应量、价格水平、外汇储备、人民币汇率等变量基于VAR模型的实证分析所得结论与基于动态随机一般均衡(DSGE)模型的理论分析所得结论一致,表明特征事实与理论模型具有较强的自洽性,从而实现了实证分析与理论分析的高度统一。在一个统一的模型框架内,综合评估了各种货币政策规则及其福利绩效。总体来说,若央行实施数量型货币政策,McCallum规则盯住实际汇率目标最优,其次为McCallum不盯住汇率目标,而McCallum规则盯住名义汇率目标区间表现居末;若央行实施价格型货币政策,Taylor规则盯住实际汇率目标最优,其次为Taylor不盯住汇率目标,而Taylor规则盯住名义汇率目标区间表现居末。在现行意愿性结售汇制度下,若数量型货币政策与价格型货币政策所包含的目标变量相同,则数量型货币政策规则(McCallum规则)优于价格型货币政策规则(Taylor规则)。而在"藏汇于民"制度下,若数量型货币政策与价格型货币政策所包含的目标变量相同,则价格型货币政策规则(Taylor规则)优于数量型货币政策规则(McCallum规则)。为降低美联储加息对中国经济带来的潜在风险,必须全面深化改革,提升中国经济的内生增长动力。同时,央行应灵活运用货币政策与汇率政策,提升有效应对国外利率冲击的能力。货币当局应提高货币政策决策的透明度,稳定居民预期,疏通货币政策调控经济的渠道,理顺货币政策的传导机制;为避免美联储启动新的加息周期后在短期出现较剧烈的资本外流,央行应完善对跨境资本流动的管制制度,构筑有效的监测指标和预警体系。当前,全球重要的经济体之间货币政策存在严重冲突,加之反全球化、新保护主义与孤立主义势力在国际上抬头,可能会给中国经济带来巨大风险。中国货币当局应就货币政策选择与美国联邦储备局保持沟通,提升国内资本市场运作效率,提高金融体系的战略地位,构建高效的防火墙来防范境外金融风险,科学合理的制定金融改革的路径与节奏。提高汇率弹性,适度扩大人民币汇率的浮动区间,完善人民币汇率的形成机制。中国这样的大国,从长期战略来看,自由浮动无疑是最适宜的汇率形成机制。在过度阶段,较为适宜的汇率制度应该是人民币有效汇率在一个较宽的波动区间内浮动,这个制度能够较好地兼顾人民币汇率的灵活性与稳定性。降低国际储备规模与外汇占款数量,减少央行被动进入外汇市场进行直接干预的频率,减轻央行资产负债表对其货币政策操作的钳制作用。在当前,数量型货币政策仍有其继续存在的理论依据与现实基础;实现从数量型货币政策向价格型货币政策的渐进式转型是较可取的选择。货币当局可在实施数量型货币政策的同时,开始着手构建价格型调控的基准利率体系,最终实现从数量型货币政策向价格型货币政策的渐进转变。
[Abstract]:In recent years, with the deepening of the process of global economic integration, the international economy and finance have formed an organic whole that is interconnected. The cross-border circulation of goods and capital has accelerated, which makes the monetary policy of various countries influence each other, and the spillover effect is obvious. As the world's largest economy, the United States plays a leading role in the global economy. Its monetary policy changes will not only affect its economic operation, but also have an important impact on other countries' economies in the world. At the same time, in the current world economic structure and the global monetary system, the US dollar is undoubtedly the most important reserve currency in most countries. Therefore, the impact of the US monetary policy will have a more significant impact on other economies in the world. In December 16, 2015, the Federal Reserve announced that the federal funds rate will be raised by 25 basis points, the target interest rate will remain between 0.25% and 0.50%, and its monetary policy will shift from loose to tight. A year later, in Beijing time December 15, 2016, the Fed announced another 25 basis points for raising interest rates, raising the target rate of federal funds to 0.5%-0.75%, which is the second increase in interest rate since the US implemented the zero interest rate policy. Under the background of global economic and financial integration, the monetary policy adjustment of the Federal Reserve will have a profound impact on the world economy and challenge the central bank's monetary policy making. This paper adopts a framework of empirical analysis and theoretical analysis to explore the spillover effect of American interest rate policy adjustment on China's economy. Through the analysis of historical experience and the empirical analysis of the VAR model, the empirical characteristics of the Chinese economy under the impact of American interest rate policy are obtained. Then, based on the empirical analysis and the characteristics of China's economic and monetary policy, a dynamic stochastic general equilibrium (NOE-DSGE) model of new open economy is constructed to study the impact of the Fed's interest rate on China's economy and its transmission mechanism. From January 1990 to December 2008, the United States went through 3 rounds of complete interest rate cycles: January 1994 to November 1998, interest rate cycle, July 1999 -2003 June interest rate cycle and -2008 annual interest rate cycle. Since 1990s, the Fed has experienced 4 interest rate hikes. The Fed's interest rate raising process usually starts with the stabilization and recovery of the economy, and the employment situation gradually improves. The employment rate performs well. The inflation rate starts to rise and exceed the target inflation rate (critical point is always 2%), and it is accompanied by a strong trend. When the economy is from overheating to cold, the inflation expectation tends to be reasonable and the inflation rate falls, the interest rate increase cycle ends. With the gradual improvement of China's economic openness, Sino US interest rate policy and macro-economic linkage have been strengthened. The impact of US interest rate policy adjustment on China's economy is more complex. The empirical analysis based on vector autoregression (VAR) model shows that under the impact of the US standard deviation of interest rate, the interest rate of federal funds is rising, the effect is more significant, and the duration is longer. Domestic interest rates have continued to rise, but compared with the federal funds rate, domestic interest rates have changed slightly, and the duration is shorter. The impact of the federal funds interest rate on China's output has a strong positive spillover effect in the short run, and it has a negative spillover effect in the middle period, while in the long run, it has a negative impact. The Fed's interest rate increase will lead to a more severe inflation effect in China in the short term. The nominal exchange rate of RMB will have a significant depreciation trend in the near future, and a slight appreciation trend will appear in the middle and later stage. A temporary decline in official foreign exchange reserves shows that the monetary authority's exchange rate policy is a policy of "against the wind". The domestic money supply decreased slightly in the short run, and then began to rise to a positive level, indicating that the central bank's exchange rate intervention policy is "non sterilized", and the intervention of exchange rate makes foreign exchange changes at the same time. The international oil price rose sharply in the short term, after gradually decline; the Fed interest rate hike, the supply cost increase, domestic inflation pressure. Based on the above characteristics, combined with the characteristics of China's economic and monetary policy practice, this paper constructs a new dynamic stochastic general equilibrium (NOE-DSGE) model of new open economy to study the impact of the Fed's interest rate on China's economy and its transmission mechanism. The innovation of this paper is that the cross border capital flow control is included in the benchmark theory model, considering the financial frictions existing in the real economy and the financial sector, and two financial accelerators are introduced. At the same time, the central bank continued to enter the foreign exchange market for direct intervention on the exchange rate based on the change, resulting in increased foreign exchange reality, the monetary authorities in the balance sheet dynamic system model is embedded, depict the important characteristics; in addition, according to the actual situation of the current Chinese monetary policy operation, the number of monetary policy rules, and includes the exchange rate target (or target interval), the monetary authorities will therefore perform indirect intervention to keep the exchange rate stable. The above new open economic dynamic stochastic general equilibrium (NOE-DSGE) model is solved. Then, the calibration and Bayesian estimation of the model parameters are carried out. Finally, through numerical simulation, the influence of the Fed's interest rate on China's economy and its transmission mechanism are analyzed. Through the theoretical model and the VAR model were compared, China US interest rate, interest rate, GDP, money supply, price level, foreign exchange reserves, the RMB exchange rate and other variables based on VAR analysis and the conclusion based on the dynamic stochastic general equilibrium (DSGE) model to analyze the conclusion, that the facts and features the theoretical model has strong self consistency, so as to realize the unification of empirical analysis and theoretical analysis. In the framework of a unified model, various monetary policy rules and their welfare performance are evaluated comprehensively. On the whole, if the central bank implements the quantitative monetary policy
【学位授予单位】：华东师范大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F827.12;F124

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