美国货币政策对中国经济溢出效应的实证研究
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摘要
美元在当今国际货币体系中处于领导、支配和优势地位。美元的支配主导地位导致了两个矛盾：第一，美国要维持美元目前的国际地位，需为其他各国提供商品销售场所，保持国际收支逆差，从而为国际货币体系提供美元流动性。但是美国持续的国际收支逆差将会导致全球经济失衡，对美元的信心削弱以及美国的收支危机，引起美元在国际货币体系中地位的衰落。从二战后的历史来看，每次美元地位出现危机的时候，世界经济就会出现一次大的调整。第二，美国本国的经济是其货币政策服务的主要目标，而美元又是一种全球货币，足以影响全球经济。当这两者不一致时，美国必定会选择前者，从而对其他国家经济造成溢出效应。对于第一方面问题的研究，包括全球经济失衡、“新布雷顿体系”、危机理论、美元外部铸币税等研究。而对于第二方面的研究包括了美国货币政策调整对其他国家资本流动、利率、汇率、通货膨胀、产出等宏观经济指标的溢出效应。本文主要关注第二方面的实证研究，全方面研究了美国货币政策调整对中国经济的溢出效应，包括了传统的美联储目标利率调整以及非传统的量化宽松货币政策。美国货币政策主要通过三个途径影响中国经济。第一个途径是通过影响外部商品的价格影响中国经济。第二个途径是通过国际资本流动来影响中国经济。第三个途径是通过影响我国的金融市场从而传导到中国经济。而以上三个途径都会对我国的通货膨胀产生影响。本文主要采用定量分析的方法全面研究美国货币政策对中国的溢出效应。由于2008年次贷危机的爆发，美联储将货币政策从传统的对目标利率进行调控转向了量化宽松货币政策。因此本文将分为两个部分，分别研究传统的目标利率调整手段和非传统的量化宽松货币政策手段对中国的溢出效应。
由于美元是全球大宗商品的定价和结算货币，而且对大宗商品具有定价权的期货交易所多位于美国境内，市场参与者也多为发达国家资本。因此，美元利率的调整对于大宗商品价格有较强的影响。中国随着经济的发展对于国际大宗商品进口的依赖越来越强。因此，本文首先运用协整VAR模型（Cointergration VAR）模型研究了美联储目标利率调整如何通过影响国际大宗商品价格指数影响中国的物价水平。实证结果显示，美联储目标利率、国家大宗商品价格、中国的原材料、燃料和动力购进价格指数、PPI之间存在着长期协整关系。美联储货币政策的调整将影响国际大宗商品的价格，从而影响我国的原材料、燃料、动力购进价格，进而影响我国的PPI指数。美联储目标利率和中国原材料、燃料、动力购进价格以及工业品出厂价格指数PPI之间存在着负向的关系。
国际资本的流动会对宏观经济各个方面造成影响。人民币与美元相对比较稳定的汇率较易使得我国在美国货币政策调整时容易造成资本的大规模流动。本文分析了影响我国非贸易和FDI资本流动的主要因素，发现人民币预期投资收益率是我国资本流动的主要影响因素。影响人民币预期投资收益率的主要指标是中美利差和人民币预期汇率。本文利用联立方程组实证结果美元利率调整会影响美元指数和中美利差，美元指数引起人民币预期汇差收益率的变化，中美利差和美元指数构成了人民币预期投资收益率。而人民币预期投资收益率是影响人民币资本流入的主要因素。因此，美元利率的变化会导致中国非贸易及FDI资本流入的变化，当美元利率处于较低水平时，有大量的非贸易及FDI资本流入进入中国。
通货膨胀可以通过多种途径在国际间传导。不管是通过国际大宗商品价格还是资本流动，这都会造成我国物价水平的变化。因此本文研究了国际间通货膨胀的传导。实证结果发现，各国通货膨胀存在长期协整关系。国际通货膨胀传导在1995年12月、1999年4月、2004年3月、2007年8月存在4个结构变点，这将整个样本区间分为了5个子区间。总体来讲，国际通货膨胀在总体趋势上正在逐渐加强，但是在98年东南亚金融危机和2008年次贷危机之后出现了反复。实证结果与传统经济学理论的预测并不一致，汇率并不是影响通胀传导的决定性因素。汇率相对固定的中国受国际通货膨胀传导的影响并没有显著大于其他国家。随着中国与世界经济的联系越来越紧密，中国受国际通货膨胀的影响越来越大。同时，中国的通货膨胀传导也更易传导到其他国家。
美联储的目标利率调整对中国金融市场存在着广泛的影响。这种影响既存在于美联储对未来经济情况看法的改变，也来自于货币政策调整后资本流动的变化。根据有效市场理论假设，一个有效的金融市场应当已经充分消化了目前市场上的所有信息。本文利用Kunttner（2001）的方法将美联储的目标利率调整分为已预期到的部分和未预期到的冲击来全面研究美联储货币目标利率调整对中国金融市场的影响。实证结果证明，FOMC目标利率调整对中国股票市场、货币市场和外汇市场均有显著的影响。其中，未预期到的FOMC目标利率调整对上证指数有显著的负效应，已预期到利率调整对股票市场则没有效果。而对于货币市场，中国国内的代表性利率会随着FOMC的目标利率调整（已预期到的调整和未预期到的冲击）而同方向变动。对于汇率，已预期到的调整和未预期到的FOMC目标利率的提高都会提高人民币预期汇率，使人民币预期贬值。
随着2008年次贷危机的爆发，美联储已经将货币政策从传统的目标利率调整转向了量化宽松货币政策。对于量化宽松货币政策实施最直接的反应就是美联储资本负债表急速扩张。本文采用美联储总资产作为其量化宽松货币政策的代理变量，运用时变系数VAR模型研究了美联储量化宽松货币政策对中国的影响，实证结果说明美联储的量化宽松货币政策对我国的消费物价指数CPI有正向的影响，而且影响的程度在逐渐增大。但是其也有助于我国在次贷危机后经济的恢复，美联储的量化宽松货币政策对我国工业企业增加值增速有着正向的影响，并且影响的程度在逐渐增大。
The U.S. dollar in the international monetary system is leadership, domination and dominantposition. The dollar’s dominance led to two contradictory: First, the United States in order tomaintain the dollar's international status, merchandise sales sites for other countries, to maintainthe balance of payments deficit to provide dollar liquidity for the international monetary system.But the sustained international deficit in the United States will result in a global economicimbalances, weakened confidence in the dollar and the U.S. balance-of-payments crisis, which ledto the decline of the status of the U.S. dollar in the international monetary system. From thepost-World War II history, every time the status of the dollar in times of crisis, the world economywill take place a big adjustment. Second, the economy of the United States itself is one of themain objectives of U.S. monetary policy services, and the dollar is a global currency, which couldaffect the global economy. When there are differences between the two, the United States willchoose the former, and thus cause spillover effects on the economies of other countries. The firstaspect of the problem includes the study of global economic imbalances, the "new Bretton Woodssystem, crisis theory, the dollar external seigniorage. The second aspect of the study includes thespillover effects of U.S. monetary policy adjustment of other countries, capital flows, interest rates,exchange rates, inflation, output and other macroeconomic indicators. This article studied thespillover effects of U.S. monetary policy adjustment on the China’s economy. Traditionalmonetary policy based on the traditional target rate adjustment as the main instrument, thespillover effects of Fed's target interest rate adjustments on the China’s economy are the mainresearch content. Spillover effects of the Fed's quantitative easing monetary policy followed theU.S. subprime mortgage crisis in2008after the outbreak will be analyzed in Chapter7.
As the U.S. dollar is a global commodity pricing and transaction currency, and commoditiesfutures exchange in the United States, market participants are mostly developed countries capital.Therefore, the adjustments of the U.S. dollar interest rates have a strong impact on commodityprices. With economic development, China’s economy dependents on international commodityimports. Therefore, we first use the model of the cointegration VAR model (Cointergration VAR),to analyze the Fed's target rate adjustments effect on the price level in China through the impact of international commodity price index. The empirical results show that the Fed's target interest rates,the commodity prices, raw materials, fuel and power purchase price index, PPI have the long-termcointegration relationship. Federal Reserve monetary policy adjustments will affect internationalcommodity prices, thus affecting our raw materials, fuel and power purchase prices, then affectingChina's PPI index. There is a negative relationship between the Fed's target rate and raw materials,fuel and power purchase price, and the producer price index PPI.
The flow of international capital is interested by economist. Because of the relatively stableexchange rate of the RMB to the U.S. dollar, China is easier to be attacked by large flows ofcapital caused by other countries’monetary policy adjustments. This paper analyzed the impact ofnon-trade and FDI capital flows of the main factors, and found that RMB expected investmentyield is the main influencing factors of China's capital flows. The main indicator is the U.S.interest rate which affects the expected return of investment rate of the RMB and RMB expectedexchange rate. Using the empirical results, dollar interest rate adjustments will affect the U.S.dollar index and U.S. interest rate, the dollar index caused by changes in the RMB exchangedifferences is expected yield of U.S. interest rate and the dollar index RMB expected investmentyield. RMB expected investment yield is the main factor to affect the RMB capital inflows.Therefore, changes in U.S. dollar interest rates will lead to changes in non-trade and FDI capitalinflows. When the U.S. dollar interest rates at a low level, there is a large number of non-trade andcapital inflows of FDI into China.
Inflation passes through countries which can cause changes in the price level in China,whether it is through the international commodity prices or capital flows. This paper studied theinternational inflation conduction. The empirical results show that CPIs in different country havelong run cointegration relationship. International inflation conduction in December1995, April1999, March2004, and August2007has four structural break points, and the whole sample periodis divided into five sub-intervals. Overall, International inflation conduction is graduallystrengthened. China did not suffer the international inflation conduction more than Japan andGerman, which is under float exchange rate. The empirical results contracted with the predictionof the traditional economic theory, the exchange rate is not the decisive factor of the impact ofinflation conduction. As the relationship between China and the others become closer, the inflationof China influence others’more and it also can be influenced more easily.
The Fed's target rate adjustment there is a wide range of effects on China's financial markets. This effect relies on the Fed's report of future economic conditions change, and also from changesin capital flows and the monetary policy adjustment. The efficient market theory assumes that anefficient financial market should have been fully digested all the information currently on themarket. We used the method of Kunttner (2001) to divide target rate adjustment to expected partand surprise to analyze the Fed's monetary target rate adjustment effect on China's financialmarkets. The empirical results show that the FOMC target interest rate adjustments effect onChina’s stock market, money market and foreign exchange markets were significantly. FOMCtarget rate adjustment surprise’s effect on the Shanghai Composite Index has a significant negativeeffect; besides expected interest rate adjustment has no effect on the stock market. China'sdomestic representative rate moves with the FOMC's target interest rate adjustments (expected toadjust and is not expected to impact) in the same direction. Expected and surprise adjustment willlead to exchange rate depreciation of the RMB expected.
With the outbreak of the subprime crisis, the Fed has shift monetary policy from thetraditional target rate adjustment to the quantitative easing monetary policy. The most directresponse of quantitative easing monetary policy is the Fed capital balance sheet’s rapid expansion.In this paper, we use the Fed's total assets as a proxy variable of its quantitative easing monetarypolicy and time-varying coefficients VAR model to study the Fed's quantitative easing monetarypolicy’s impact on China. The empirical results suggest that the Fed's quantitative easing monetarypolicy has a positive impact on China's consumer price index (CPI), and the degree of influence isgradually increasing. but it also contribute to the economic recovery of the country after thesubprime mortgage crisis., the Fed's quantitative easing monetary policy has a positive impact onChina's industrial added value growth, and the degree of influence is gradually increasing.
由于美元是全球大宗商品的定价和结算货币，而且对大宗商品具有定价权的期货交易所多位于美国境内，市场参与者也多为发达国家资本。因此，美元利率的调整对于大宗商品价格有较强的影响。中国随着经济的发展对于国际大宗商品进口的依赖越来越强。因此，本文首先运用协整VAR模型（Cointergration VAR）模型研究了美联储目标利率调整如何通过影响国际大宗商品价格指数影响中国的物价水平。实证结果显示，美联储目标利率、国家大宗商品价格、中国的原材料、燃料和动力购进价格指数、PPI之间存在着长期协整关系。美联储货币政策的调整将影响国际大宗商品的价格，从而影响我国的原材料、燃料、动力购进价格，进而影响我国的PPI指数。美联储目标利率和中国原材料、燃料、动力购进价格以及工业品出厂价格指数PPI之间存在着负向的关系。
国际资本的流动会对宏观经济各个方面造成影响。人民币与美元相对比较稳定的汇率较易使得我国在美国货币政策调整时容易造成资本的大规模流动。本文分析了影响我国非贸易和FDI资本流动的主要因素，发现人民币预期投资收益率是我国资本流动的主要影响因素。影响人民币预期投资收益率的主要指标是中美利差和人民币预期汇率。本文利用联立方程组实证结果美元利率调整会影响美元指数和中美利差，美元指数引起人民币预期汇差收益率的变化，中美利差和美元指数构成了人民币预期投资收益率。而人民币预期投资收益率是影响人民币资本流入的主要因素。因此，美元利率的变化会导致中国非贸易及FDI资本流入的变化，当美元利率处于较低水平时，有大量的非贸易及FDI资本流入进入中国。
通货膨胀可以通过多种途径在国际间传导。不管是通过国际大宗商品价格还是资本流动，这都会造成我国物价水平的变化。因此本文研究了国际间通货膨胀的传导。实证结果发现，各国通货膨胀存在长期协整关系。国际通货膨胀传导在1995年12月、1999年4月、2004年3月、2007年8月存在4个结构变点，这将整个样本区间分为了5个子区间。总体来讲，国际通货膨胀在总体趋势上正在逐渐加强，但是在98年东南亚金融危机和2008年次贷危机之后出现了反复。实证结果与传统经济学理论的预测并不一致，汇率并不是影响通胀传导的决定性因素。汇率相对固定的中国受国际通货膨胀传导的影响并没有显著大于其他国家。随着中国与世界经济的联系越来越紧密，中国受国际通货膨胀的影响越来越大。同时，中国的通货膨胀传导也更易传导到其他国家。
美联储的目标利率调整对中国金融市场存在着广泛的影响。这种影响既存在于美联储对未来经济情况看法的改变，也来自于货币政策调整后资本流动的变化。根据有效市场理论假设，一个有效的金融市场应当已经充分消化了目前市场上的所有信息。本文利用Kunttner（2001）的方法将美联储的目标利率调整分为已预期到的部分和未预期到的冲击来全面研究美联储货币目标利率调整对中国金融市场的影响。实证结果证明，FOMC目标利率调整对中国股票市场、货币市场和外汇市场均有显著的影响。其中，未预期到的FOMC目标利率调整对上证指数有显著的负效应，已预期到利率调整对股票市场则没有效果。而对于货币市场，中国国内的代表性利率会随着FOMC的目标利率调整（已预期到的调整和未预期到的冲击）而同方向变动。对于汇率，已预期到的调整和未预期到的FOMC目标利率的提高都会提高人民币预期汇率，使人民币预期贬值。
随着2008年次贷危机的爆发，美联储已经将货币政策从传统的目标利率调整转向了量化宽松货币政策。对于量化宽松货币政策实施最直接的反应就是美联储资本负债表急速扩张。本文采用美联储总资产作为其量化宽松货币政策的代理变量，运用时变系数VAR模型研究了美联储量化宽松货币政策对中国的影响，实证结果说明美联储的量化宽松货币政策对我国的消费物价指数CPI有正向的影响，而且影响的程度在逐渐增大。但是其也有助于我国在次贷危机后经济的恢复，美联储的量化宽松货币政策对我国工业企业增加值增速有着正向的影响，并且影响的程度在逐渐增大。
The U.S. dollar in the international monetary system is leadership, domination and dominantposition. The dollar’s dominance led to two contradictory: First, the United States in order tomaintain the dollar's international status, merchandise sales sites for other countries, to maintainthe balance of payments deficit to provide dollar liquidity for the international monetary system.But the sustained international deficit in the United States will result in a global economicimbalances, weakened confidence in the dollar and the U.S. balance-of-payments crisis, which ledto the decline of the status of the U.S. dollar in the international monetary system. From thepost-World War II history, every time the status of the dollar in times of crisis, the world economywill take place a big adjustment. Second, the economy of the United States itself is one of themain objectives of U.S. monetary policy services, and the dollar is a global currency, which couldaffect the global economy. When there are differences between the two, the United States willchoose the former, and thus cause spillover effects on the economies of other countries. The firstaspect of the problem includes the study of global economic imbalances, the "new Bretton Woodssystem, crisis theory, the dollar external seigniorage. The second aspect of the study includes thespillover effects of U.S. monetary policy adjustment of other countries, capital flows, interest rates,exchange rates, inflation, output and other macroeconomic indicators. This article studied thespillover effects of U.S. monetary policy adjustment on the China’s economy. Traditionalmonetary policy based on the traditional target rate adjustment as the main instrument, thespillover effects of Fed's target interest rate adjustments on the China’s economy are the mainresearch content. Spillover effects of the Fed's quantitative easing monetary policy followed theU.S. subprime mortgage crisis in2008after the outbreak will be analyzed in Chapter7.
As the U.S. dollar is a global commodity pricing and transaction currency, and commoditiesfutures exchange in the United States, market participants are mostly developed countries capital.Therefore, the adjustments of the U.S. dollar interest rates have a strong impact on commodityprices. With economic development, China’s economy dependents on international commodityimports. Therefore, we first use the model of the cointegration VAR model (Cointergration VAR),to analyze the Fed's target rate adjustments effect on the price level in China through the impact of international commodity price index. The empirical results show that the Fed's target interest rates,the commodity prices, raw materials, fuel and power purchase price index, PPI have the long-termcointegration relationship. Federal Reserve monetary policy adjustments will affect internationalcommodity prices, thus affecting our raw materials, fuel and power purchase prices, then affectingChina's PPI index. There is a negative relationship between the Fed's target rate and raw materials,fuel and power purchase price, and the producer price index PPI.
The flow of international capital is interested by economist. Because of the relatively stableexchange rate of the RMB to the U.S. dollar, China is easier to be attacked by large flows ofcapital caused by other countries’monetary policy adjustments. This paper analyzed the impact ofnon-trade and FDI capital flows of the main factors, and found that RMB expected investmentyield is the main influencing factors of China's capital flows. The main indicator is the U.S.interest rate which affects the expected return of investment rate of the RMB and RMB expectedexchange rate. Using the empirical results, dollar interest rate adjustments will affect the U.S.dollar index and U.S. interest rate, the dollar index caused by changes in the RMB exchangedifferences is expected yield of U.S. interest rate and the dollar index RMB expected investmentyield. RMB expected investment yield is the main factor to affect the RMB capital inflows.Therefore, changes in U.S. dollar interest rates will lead to changes in non-trade and FDI capitalinflows. When the U.S. dollar interest rates at a low level, there is a large number of non-trade andcapital inflows of FDI into China.
Inflation passes through countries which can cause changes in the price level in China,whether it is through the international commodity prices or capital flows. This paper studied theinternational inflation conduction. The empirical results show that CPIs in different country havelong run cointegration relationship. International inflation conduction in December1995, April1999, March2004, and August2007has four structural break points, and the whole sample periodis divided into five sub-intervals. Overall, International inflation conduction is graduallystrengthened. China did not suffer the international inflation conduction more than Japan andGerman, which is under float exchange rate. The empirical results contracted with the predictionof the traditional economic theory, the exchange rate is not the decisive factor of the impact ofinflation conduction. As the relationship between China and the others become closer, the inflationof China influence others’more and it also can be influenced more easily.
The Fed's target rate adjustment there is a wide range of effects on China's financial markets. This effect relies on the Fed's report of future economic conditions change, and also from changesin capital flows and the monetary policy adjustment. The efficient market theory assumes that anefficient financial market should have been fully digested all the information currently on themarket. We used the method of Kunttner (2001) to divide target rate adjustment to expected partand surprise to analyze the Fed's monetary target rate adjustment effect on China's financialmarkets. The empirical results show that the FOMC target interest rate adjustments effect onChina’s stock market, money market and foreign exchange markets were significantly. FOMCtarget rate adjustment surprise’s effect on the Shanghai Composite Index has a significant negativeeffect; besides expected interest rate adjustment has no effect on the stock market. China'sdomestic representative rate moves with the FOMC's target interest rate adjustments (expected toadjust and is not expected to impact) in the same direction. Expected and surprise adjustment willlead to exchange rate depreciation of the RMB expected.
With the outbreak of the subprime crisis, the Fed has shift monetary policy from thetraditional target rate adjustment to the quantitative easing monetary policy. The most directresponse of quantitative easing monetary policy is the Fed capital balance sheet’s rapid expansion.In this paper, we use the Fed's total assets as a proxy variable of its quantitative easing monetarypolicy and time-varying coefficients VAR model to study the Fed's quantitative easing monetarypolicy’s impact on China. The empirical results suggest that the Fed's quantitative easing monetarypolicy has a positive impact on China's consumer price index (CPI), and the degree of influence isgradually increasing. but it also contribute to the economic recovery of the country after thesubprime mortgage crisis., the Fed's quantitative easing monetary policy has a positive impact onChina's industrial added value growth, and the degree of influence is gradually increasing.
引文
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