摘要
本文借鉴Diebold和Yilmaz(2009)的滚动估计方法构建主要发达经济体货币政策变量对我国经济的溢出指数,并具体测算2005年7月-2016年8月的动态溢出指数分析货币政策分化对我国经济的动态溢出影响。另外,分别对外汇储备和人民币汇率指数进行分析。得出以下结论:一是美联储政策正常化对我国的溢出影响较大,但加息预期对我国经济产生了更为强烈的溢出影响。二是欧日继续加码的宽松货币政策对我国的溢出影响总体振荡下行。三是"8·11汇改"和人民币加入SDR减弱了美元加息的溢出冲击。
Based on the rolling estimation method of Diebold and Yilmaz(2009), this paper constructs the spillover index of the monetary policy variable of the major developed Countris to China ' s economy, and calculates the dynamic spillover index of July 2005-August 2016 to analyze the dynamic spillover impact of the monetary policy divergence on the economy of China. In addition, we analyze the foreign exchange reserves and the RMB exchange rate index. The conclusions are as followings: Firstly, the normalization of the Federal Reserve policy has a quite great spillover impact on China, but its interest rate expectations on China' s economy has a more intense spillover effect. Secondly, the spillover impact of Europe ' s and Japan ' s continuing to strengthen the loose monetary policy on China ' s economy is overall declining amid fluctuations.Thirdly, '8. 11 currency reform' and RMB's joining SDRweakens the spill shocks from the increase of dollar interest rate.
出处
《金融发展评论》
2017年第4期38-45,共8页
Financial Development Review
关键词
发达经济体
政策分化
溢出效应
Developed Economies
Monetary Policy Divergence
Spillover Effect
