摘要
美联储为平滑全球经济波动幅度和速度的"双增强"趋势而频繁切换的货币政策,对中国经济产生了非线性影响。同时,利差作为影响人民币和美元相对收益率和相对购买力的重要媒介,其变化在美联储货币政策对中国经济的冲击中扮演着越来越重要的角色,导致以往仅考虑美国利率而忽视中国利率的研究结论严重缺乏实际经济意义。基于此,在构建时变转换概率的马尔科夫区制转换向量自回归模型中,基于中美利差,可以探讨美联储货币政策对中国经济非线性影响的现实表征和非对称性传导机制。研究发现,非线性影响的现实表征包括:在经济萧条时期,美联储量化宽松货币政策引起中美利差增大,对中国经济主要产生负向影响;在经济高涨时期,美联储紧缩性货币政策引起中美利差减小,对中国经济也主要产生负向影响。这就意味着,在不同时期的相同货币政策会对中国经济产生反向影响。非对称性传导机制的影响包括:在经济萧条时期,美联储货币政策主要通过中美利差影响人民币和美元的相对购买力,进而基于经常账户对中国宏观经济产生主要影响;在经济高涨时期,美联储货币政策主要通过中美利差影响人民币和美元的相对收益率,进而基于资本与金融账户对中国金融市场产生主要影响。因此,中国央行应适当盯住美联储货币政策,在经济萧条时期,以数量型宽松工具应对美联储宽松政策冲击;在经济高涨时期,以价格型紧缩工具应对美联储收紧政策冲击。
The magnitude and speed of global economic fluctuation have shown a trend of "double enhancement",which has led the Federal Reserve to frequently switch the monetary policy to smooth the economic fluctuation,thus making a nonlinear effect on China’s economy.In the meanwhile,interest margin,as an important medium affecting the relative yield and relative purchasing power of the RMB and the USD,,is playing an increasingly important role in the Federal Reserve’s monetary policy shocks on China’s economy,thus leading the conclusions which only consider US interest rates but ignore Chinese interest rates to be seriously lacking in practical economic significance.Therefore,this paper constructs a Markov switching vector auto-regression model with time varying transition probabilities,and examines the dynamic phenomenon and the asymmetric transmission mechanism of the Federal Reserve’s monetary policy shocks on China’s economy from the perspective of the interest margin of the RMB and the USD.It was found that the dynamic phenomenon lies in two sides.During the period of economic depression,the Federal Reserve’s quantitative easing monetary policy caused an increase in the interest margin of the RMB and the USD,which made a negative impact on China’s economy.On the other hand,in the period of economic expansion,the Federal Reserve’s tight monetary policy caused an decrease in the interest margin of the RMB and the USD,which also made a negative impact on China’s economy,indicating that the same monetary policy would make a different effect on China’s economy in different periods.The asymmetric transmission mechanism includes,the following factors.In the period of economic depression,the Federal Reserve’s monetary policy mainly affects the relative purchasing power of the RMB and the USD,and then exerts a major impact on China’s macro economy based on the current account.During the period of economic expansion,the Federal Reserve’s monetary policy mainly affects the relative yield of the RMB and
作者
徐颖
王艺瑄
于莹
Xu Ying;Wang Yixuan;Yu Ying(Jilin University)
出处
《武汉大学学报（哲学社会科学版）》
CSSCI
北大核心
2022年第2期89-102,共14页
Wuhan University Journal：Philosophy & Social Science
基金
天津市哲学社会科学规划项目(TJYJQN20-004)。
关键词
中美利差
美联储
货币政策
中国经济
interest margin of the RMB and the USD
federal reserve
monetary policy
China’s economy
