美国货币政策对中国产出溢出效应的实证研究
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摘要
货币政策的国际传导和溢出效应是一个存在争论的研究课题，本文就美国货币政策对中国产出的溢出效应进行了实证检验，重点分析了美国货币政策对中国产出溢出效应的存在性、趋势性、传导渠道和地区差异。全文共分七章：
第一章对相关领域的研究文献进行了梳理。基于蒙代尔-弗莱明-多恩布什模型和新开放经济宏观经济学模型，许多学者对货币政策的国际传导和溢出效应进行了广泛的研究。同时，亦有大量文献利用现实经济数据，运用向量自回归等方法，对货币政策的溢出效应进行了实证研究。但是，这些研究并没有消除对这一问题的争论，争论主要来自于两个方面，一是货币政策溢出效应的方向，二是货币政策溢出的具体传导渠道。
第二章就美国货币政策对中国产出的溢出效应进行了检验。实证结果表明，扩张性的美国货币政策对中国产出的影响也是扩张性的。在短期，美国货币政策冲击对中国产出变动的贡献率要小于其对G7国家(美国除外)和韩国经济变动的贡献率，而在中长期则是基本接近的。此外，1995年以来，美国货币政策对中国产出的中长期溢出效应大体呈现不断增强的趋势。
第三章就美国货币政策对中国的溢出效应进行了理论解释。笔者认为，美国货币政策溢出中国主要通过三个渠道：一是政策渠道，出于实现外部均衡的考虑，中国货币政策会对美国货币政策的变动作出反应，中国货币政策的变动会通过利率渠道、非货币资产价格渠道以及信用渠道作用于中国产出；二是贸易渠道，美国货币政策调整会通过支出转换和收入吸收两种效应影响中国的贸易收支，进而影响中国产出；三是资产价格渠道，美国货币政策变动带来的国际资本流动和投资者预期心理的变动影响到中国的资产价格，而资产价格的变化会通过财富效应和托宾Q作用于中国产出。
第四章对美国货币政策溢出的传导渠道进行了实证检验。实证结论表明，从政策渠道来看，扩张性的美国货币政策会导致中国利率的下降和货币供应量的增加，即中国货币政策的扩张，尽管2005年人民币汇率形成机制改革以来，中国货币政策的独立性有所增强，但央行为维持汇率稳定，货币政策被动地适应汇率的变化，政策的独立性受到一定程度的影响，特别是在长期，排除时滞因素后，美国货币政策对中国货币政策有着重要的影响。从贸易渠道来看，扩张性的美国货币政策会导致中国贸易收支在短期恶化，而在长期得到改善，政策冲击对贸易收支影响的方向是支出转换效应和收入吸收效应共同作用的结果，从长期看，收入吸收效应将变的更为重要。从资产价格渠道来看，扩张性的美国货币政策还会导致中国股市收益率的下降。
第五章综合分析并比较了美国货币政策溢出中国不同传导渠道的相对重要性。通过方差分解的方法，笔者发现，在美国货币政策溢出中国的过程中，政策渠道是相对重要的传导渠道，贸易渠道次之，而资产价格渠道的作用在现阶段还相对较小。
第六章对美国货币政策溢出效应的地区差异进行了实证检验。由于中国区域发展不平衡，美国货币政策冲击对中国各个地区的影响并不完全相同。本章的实证结论表明，美国货币政策的溢出效应在东部地区传导较为迅速，并且影响程度也略大于中西部。从溢出效应的传导渠道来看，美国货币政策溢出效应的地区差异来自于政策渠道、贸易渠道以及资产价格渠道的地区差异。
第七章对全文进行总结，概括了本文在实证方面得到的若干结论，并针对中国当前的经济状况提出了相应的政策建议。
The international transmission and the spillover effects of monetarypolicy have long been discussed,but remain controversial.Thisdissertation documents detailed evidence on the monetary policy spillovereffects from United States to China,and examines the mechanism by whichUS monetary policy shocks are internationally transmitted to China.
This dissertation is organized as follows:
Chapter l summarizes the corresponding literature.Based on theMundell-Flaming-Dornbush Model and New Open Economy Macroeconomic Model,many researchers have done extensive theoretical studies on theinternational transmission and the spillover effects of monetary policy.Also,there are many empirical researches using VAR method.However,theseresearches have not resolved the ambiguity,which comes from two sources.The first is the prediction of monetary policyspillover effects,and thesecond is the specific transmission mechanism of monetary policyspillover.
Chapter 2 examines the spillover effects of US monetary policy shockson China's output based on SVAR model.The empirical results indicate thatthe influence of expansionary US monetary policy to China's output ispositive.In the short run,the portion that US monetary shocks explainfor China is smaller than that of the non-US,G7 countries and Korea,butthey are similar in the long run.In addition,since 1995 the US monetarypolicy spillover effects on China's output tend to be stronger.
Chapter 3 makes a theoretical analysis of the spillover effects ofUS monetary policy to China.US monetary policy shocks are transmittedto China by three main channels.The first is the policy channel.China'smonetary policy will respond to the change of US monetary policy.As aresult,China's output will adjust accordingly.The second is the tradechannel.US monetary policy shocks will influence China's trade balance,and thus China's output through the expenditure switch effects and theincome absorption effects.The third channel is by assets price.theadjustment of the international capital flow and the expectation ofinvestors caused by US monetary shift would have some impacts on China's asset price,which will affect China's output through wealth effects andTobin's Q.
Chapter 4 examines the transmission channels by which US monetarypolicy transmits to China.The empirical results indicate thatexpansionary US monetary policy can lower China's interest rate andenlarge its money supply.Although the RMB exchange rate formationmechanism reform in 2005 has improved the independence of China monetarypolicy,the central bank had to maintain exchange rate stable,and thusits policy follows US policy to some extent.China's trade balance woulddeteriorate in the short run under the influence of US monetary policy,while turn to improve in the long run.Thus the direction of the policyshock to the trade balance is determined by both the expenditure switcheffect and the income absorption effect.However,the latter would becomeeven more important in the long run.Moreover,the expansionary USmonetary policy would lead to the decline of China's stock return by theasset price channel.
Chapter 5 compares the importance of various transmission channelsby which US monetary policy transmits to China.By using the variancedecomposition method,the author concludes that the policy turns to bethe most important among all the three channels,while the asset priceplays the least important role currently.
Chapter 6 examines the spillover effects on different regions.Dueto the imbalanced economic development of China's regions,the impactsof US monetary policy shocks vary in regions.It can be found from theresults that the spillover effects of US monetary policy transmit fasterand are slightly stronger in the eastern region than in the middle andwestern regions.
Chapter 7 summarizes the results and concludes.
第一章对相关领域的研究文献进行了梳理。基于蒙代尔-弗莱明-多恩布什模型和新开放经济宏观经济学模型，许多学者对货币政策的国际传导和溢出效应进行了广泛的研究。同时，亦有大量文献利用现实经济数据，运用向量自回归等方法，对货币政策的溢出效应进行了实证研究。但是，这些研究并没有消除对这一问题的争论，争论主要来自于两个方面，一是货币政策溢出效应的方向，二是货币政策溢出的具体传导渠道。
第二章就美国货币政策对中国产出的溢出效应进行了检验。实证结果表明，扩张性的美国货币政策对中国产出的影响也是扩张性的。在短期，美国货币政策冲击对中国产出变动的贡献率要小于其对G7国家(美国除外)和韩国经济变动的贡献率，而在中长期则是基本接近的。此外，1995年以来，美国货币政策对中国产出的中长期溢出效应大体呈现不断增强的趋势。
第三章就美国货币政策对中国的溢出效应进行了理论解释。笔者认为，美国货币政策溢出中国主要通过三个渠道：一是政策渠道，出于实现外部均衡的考虑，中国货币政策会对美国货币政策的变动作出反应，中国货币政策的变动会通过利率渠道、非货币资产价格渠道以及信用渠道作用于中国产出；二是贸易渠道，美国货币政策调整会通过支出转换和收入吸收两种效应影响中国的贸易收支，进而影响中国产出；三是资产价格渠道，美国货币政策变动带来的国际资本流动和投资者预期心理的变动影响到中国的资产价格，而资产价格的变化会通过财富效应和托宾Q作用于中国产出。
第四章对美国货币政策溢出的传导渠道进行了实证检验。实证结论表明，从政策渠道来看，扩张性的美国货币政策会导致中国利率的下降和货币供应量的增加，即中国货币政策的扩张，尽管2005年人民币汇率形成机制改革以来，中国货币政策的独立性有所增强，但央行为维持汇率稳定，货币政策被动地适应汇率的变化，政策的独立性受到一定程度的影响，特别是在长期，排除时滞因素后，美国货币政策对中国货币政策有着重要的影响。从贸易渠道来看，扩张性的美国货币政策会导致中国贸易收支在短期恶化，而在长期得到改善，政策冲击对贸易收支影响的方向是支出转换效应和收入吸收效应共同作用的结果，从长期看，收入吸收效应将变的更为重要。从资产价格渠道来看，扩张性的美国货币政策还会导致中国股市收益率的下降。
第五章综合分析并比较了美国货币政策溢出中国不同传导渠道的相对重要性。通过方差分解的方法，笔者发现，在美国货币政策溢出中国的过程中，政策渠道是相对重要的传导渠道，贸易渠道次之，而资产价格渠道的作用在现阶段还相对较小。
第六章对美国货币政策溢出效应的地区差异进行了实证检验。由于中国区域发展不平衡，美国货币政策冲击对中国各个地区的影响并不完全相同。本章的实证结论表明，美国货币政策的溢出效应在东部地区传导较为迅速，并且影响程度也略大于中西部。从溢出效应的传导渠道来看，美国货币政策溢出效应的地区差异来自于政策渠道、贸易渠道以及资产价格渠道的地区差异。
第七章对全文进行总结，概括了本文在实证方面得到的若干结论，并针对中国当前的经济状况提出了相应的政策建议。
The international transmission and the spillover effects of monetarypolicy have long been discussed,but remain controversial.Thisdissertation documents detailed evidence on the monetary policy spillovereffects from United States to China,and examines the mechanism by whichUS monetary policy shocks are internationally transmitted to China.
This dissertation is organized as follows:
Chapter l summarizes the corresponding literature.Based on theMundell-Flaming-Dornbush Model and New Open Economy Macroeconomic Model,many researchers have done extensive theoretical studies on theinternational transmission and the spillover effects of monetary policy.Also,there are many empirical researches using VAR method.However,theseresearches have not resolved the ambiguity,which comes from two sources.The first is the prediction of monetary policyspillover effects,and thesecond is the specific transmission mechanism of monetary policyspillover.
Chapter 2 examines the spillover effects of US monetary policy shockson China's output based on SVAR model.The empirical results indicate thatthe influence of expansionary US monetary policy to China's output ispositive.In the short run,the portion that US monetary shocks explainfor China is smaller than that of the non-US,G7 countries and Korea,butthey are similar in the long run.In addition,since 1995 the US monetarypolicy spillover effects on China's output tend to be stronger.
Chapter 3 makes a theoretical analysis of the spillover effects ofUS monetary policy to China.US monetary policy shocks are transmittedto China by three main channels.The first is the policy channel.China'smonetary policy will respond to the change of US monetary policy.As aresult,China's output will adjust accordingly.The second is the tradechannel.US monetary policy shocks will influence China's trade balance,and thus China's output through the expenditure switch effects and theincome absorption effects.The third channel is by assets price.theadjustment of the international capital flow and the expectation ofinvestors caused by US monetary shift would have some impacts on China's asset price,which will affect China's output through wealth effects andTobin's Q.
Chapter 4 examines the transmission channels by which US monetarypolicy transmits to China.The empirical results indicate thatexpansionary US monetary policy can lower China's interest rate andenlarge its money supply.Although the RMB exchange rate formationmechanism reform in 2005 has improved the independence of China monetarypolicy,the central bank had to maintain exchange rate stable,and thusits policy follows US policy to some extent.China's trade balance woulddeteriorate in the short run under the influence of US monetary policy,while turn to improve in the long run.Thus the direction of the policyshock to the trade balance is determined by both the expenditure switcheffect and the income absorption effect.However,the latter would becomeeven more important in the long run.Moreover,the expansionary USmonetary policy would lead to the decline of China's stock return by theasset price channel.
Chapter 5 compares the importance of various transmission channelsby which US monetary policy transmits to China.By using the variancedecomposition method,the author concludes that the policy turns to bethe most important among all the three channels,while the asset priceplays the least important role currently.
Chapter 6 examines the spillover effects on different regions.Dueto the imbalanced economic development of China's regions,the impactsof US monetary policy shocks vary in regions.It can be found from theresults that the spillover effects of US monetary policy transmit fasterand are slightly stronger in the eastern region than in the middle andwestern regions.
Chapter 7 summarizes the results and concludes.
引文
1 根据《中国统计年鉴》数据计算。
2 根据《2008年国民经济和社会发展统计公报》数据计算。
3 数据来源：《中国统计年鉴》。
4 数据来源：《2008年国民经济和社会发展统计公报》。
5 Kim,S.International Transmission of U.S.Monetary Policy Shocks:Evidence from VAR's[J].Journal of Monetary Economics,2001,48:339-372.
6 Christiano, L., Eichenbaum, M. , Evans, C. Monetary Policy Shocks: What Have We Learned and to What End? [R]. NBER Working Paper, 1998, No. 6400.
7 Shin, H. A Data-oriented Study of the International Transmission of Monetary Policy Shocks: The case of Korea [D]. Columbia: University of Missouri-Columbia, 2000.
1 古典学派认为货币本身并无内在价值，它仅仅起到方便交换的作用，货币是覆盖于实物经济上的一层“面纱”，对经济并不发生实际的影响。
2 代表性的研究包括Romer and Romer (1989)、Bernanke and B1 inder (1992)以及Christiano,Eichenbaum and Evans(1994)等。
3 Bernanke,B.,Gertler,M.Inside the Black Box:The Credit Channel of Monetary Policy Transmission[J].Journal of Economic Perspectives,1995,9(4):27-48.
4 Mishkin,F.The Economics of Money,Banking and Financial Markets (seventh edition)[M].Addison Wesley,2003:616-626.
5 亦被称为货币政策传导的“货币观”和“信用观”。
6 凯恩斯本人所强调的是企业对投资支出的决策，后来的研究表明，消费者对住房及耐用品支出的决策同样也是一种投资决策。
7 Ramey,V.How Important Is the Credit Channel in the Transmission of Monetary Policy?[J].Carnegie-Rochester Conference Series on Public Policy,1993,39:1-45.
8 Meltzer,A.Monetary,Credit and (Other) Transmission Processes:A Monetarist Perspective[J].Journal of Economic Perspectives,1995,9(4):49-72.
9 Mundell,R.Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates[J].Canadian Journal of Economics and Political Science,1963,29:475-485.Mundell,R.A Reply:Capital Mobility and Size[J].Canadian Journal of Economics and Political Science,1964,30:421-431.
10 Fleming,J.Domestic Financial Policies under Fixed and under Floating Exchange Rates[R].IMF Staff Papers,1962,9:369-379.
11 Dornbusch,R.Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84:1161-1176.
12 参见姜波克，《开放经济下的政策搭配》，1999，p112-113。
13 Obstfeld,M.,Rogoff,K.Exchange Rate Dynamic Redux[J].Journal of Political Economy,1995,103:624-660.
14 c_t~j(z)表示在t期本国居民j对产品z的消费量。
15 Obstfeld,M.,Rogoff,K.Foundations of International Macroeconomics[M].Cambridge,MA:MIT Press,1996.
16 Corsetti,G.,Pesenti,P.Welfare and Macroeconomic Interdependence[R].NBER Working Paper,1997,No.63.
17 Corsetti,G.,Pesenti,P.Welfare and Macroeconomic Interdependence[J].Quarterly Journal of Economics,2001,116:421-445.
18 Benigno,P.A Simple Approach to International Monetary Policy Coordination[J].Journal of International Economics,2002,57:177-196.
19 Clarida,R.,Gali,J.,Gertler,M.A Simple Framework for International Monetary Policy Analysis[J].Journal of Monetary Economics,2002,49:879-904.
20 也就是我们常说的“以邻为壑”。
21 Frankel,J.,Rockett,K.International Macroeconomic Policy Coordination When Policy Makers Do Not Agree on the True Model[J].American Economic Review,1988,78,318-340.
22 Lastrapes,W.,Koray,F.International Transmission of Aggregate Shocks under Fixed and Flexible Exchange Rate Regimes:United Kingdom,France,and Germany,1959 to 1985[J].Journal of International Money and Finance,1990,9:402-423.
23 Stam,A.,DeLorme,Jr.C.,Fintenstadt,B.Cross National Money-Income Causality for the Floating Exchange Rate Period:Has the Influence of U.S.and German Money Persisted?[J].Journal of Macroeconomics,1991,13:207-237.
24 Burdenkin,R.,Burkett,P.The Impact of US Economic Variables on the Bank of Canada:Direct and Indirect Responses[J].Journal of International Money and Finance,1992,11:162-187.
25 Hutchison,M.,Walsh,C.Empirical Evidence on the Insulation Properties of Fixed and Flexible Exchange Rates:The Japanese Experience[J].Journal of International Economics,1992,32:241-263.
26 Holman,J.,Neumann,R.Evidence on the Cross-Country Transmission of Monetary Shocks[J].Applied Economics,2002,34:1837-1857.
27 McKibbin,S.,Sunberg,M.Macroeconomic Linkages between the OECD and Asia-Pacific Region[R].Brookings Discussion Papers,1990,No.80.
28 Mackowiak,B.External Shocks,U.S.Monetary Policy and Macroeconomic Fluctuations in Emerging Markets[J].Journal of Monetary Economics,2007,54:2512-2520.
29 Kozluk,T.,Mehrotra,A.The Impact of Chinese Monetary Policy Shocks on East Asia[R].BOFIT Discussion Papers,2008.
30 Jeong,J.,Lee,Y.International Transmission of Inflation under Alternative Exchange Rate Regimes:Empirical Evidence and Its Implications[J].Global Finance Journal,2001,12:121-137.
31 Yang,J.,Guo,H.,Wang,Z.International Transmission of Inflation among G-7 Countries:A Data-Determined VAR Analysis[J].Journal of Banking & Finance,2006,30:2681-2700.
32 赵智勇．开放经济条件下的货币政策[D]．成都：西南财经大学，1997。
33 姜波克，《开放经济下的政策搭配》，1999，p113-114。
34 吴照银．中美经济政策的传导[J]．国际金融研究，2003，3：18-21。
35 中国人民银行济南分行课题组．中国货币政策的国际影响研究[J]．济南金融，2003，1：3-6。
36 安佳．美国货币政策周期对区域经济发展的影响[J]．东岳论丛，2006，27(3)：107-111。
37 顾履宪．欧元区货币政策是否渗透着“美国因素”?[J]．中国外汇，2007，5：63-64。
38 王胜，邹恒甫．开放经济中的泰勒规则——对中国货币政策的检验[J]．统计研究，2006，3：42-46。
39 贾俊雪，郭庆旺．经济开放、外部冲击与宏观经济稳定——基于美国经济冲击的影响分析[J]．中国人民大学学报，2006，6：65-73。
40 孙立坚，孙立行．对外开放和经济波动的关联性检验——中国和东亚新兴市场国家的案例[J]．经济研究，2005，6：69-81。
1 Sims,C.Macroeconomics and Reality[J].Econometrica,1980,48:1-48.
2 代表性的研究包括Blanchard and Watson(1986)，Bernanke(1986)和Sims(1986)。
3 Wold因果链(Wold，1954)是一条递归链，当i＜j，有(?)y_(i，t)／(?)ε_(j，t)=0。
4 Christiano,L.,Eichenbaum,M.,Evans,C.Monetary Policy Shocks:What Have We Learned and to What End?[R].NBER Working Paper,1998,No.6400.
5 Bernanke,B.,Blinder,A.The Federal Funds Rate and the Channels of Monetary Transmission[J].American Economic Review,1992,82(4):901-921.
6 2002=100，数据经季节性调整。
7 1982-1984=100，数据经季节性调整。
8 1982=100，数据经季节性调整。
9 数据经季节性调整。
10 季节性调整采用了Eviews软件的默认设置。
11 本章实证没有对变量进行差分以消除非平稳因素，主要是考虑到：1．差分会改变经济含义，在进行脉冲响应分析时，新息项就不再是货币政策冲击了。大量研究美国货币政策传导的经典文献(如Bernanke and Gertler(1995)，Christiano et al．(1998)等)也都直接使用了变量的水平值：2．采用和国外同类文献(如Shin(2000)，Kim(2001)等)相同的数据处理方法，可以方便地进行实证结果的对比。
12 1994年底美联储有过一次加息幅度达75个基点。
13 内部时滞是指中央银行从制定政策到采取实际行动所需要的时间。
14 外部时滞是指从中央银行实际执行货币政策到这一政策在宏观经济中产生相应效应之间的时间。
15 参见LeSage，J．，Appl ied Econometrics using MATLAB，1999．
16 GDP in billions of chained 2000 dollars，数据经季节性调整。
1 姜波克，《开放经济下的政策搭配》，1999，p114—120。
2 贾俊雪，郭庆旺．经济开放、外部冲击与宏观经济稳定——基于美国经济冲击的影响分析[J]．中国人民大学学报，2006，6：65-73。
3 许少强．美元霸权：生存基础、影响和我国的对策[J]．复旦学报(社会科学版)，2005，4：33-38。
4 参照Sheehan(1992)。
5 依照Cosimano and Van Huyck(1989)进行设定。
6 固定汇率制意味着△e~*=0。
7 Barth,J.,Sickles,R.,Wiest,P.Assessing the Impact of Varying Economic Conditions on Federal Reserve Behavior[J].Journal of Macroeconomics,1982,4(1):47-70.
8 数据来源：《中国统计年鉴》。
9 谢平，张晓朴．货币政策与汇率政策的三次冲突——1994—2000年中国的实证分析[J]．国际经济评论，2002，Z3：30-35。
10 尹翔硕，2009，金融危机对中国贸易经济的影响，复旦大学经济学院。
11 对于中美双边贸易的统计数据，中国海关统计(表3—4)和美国经济分析局统计(表3—5)存在差异。关于中美贸易统计差异的进一步分析可参见：沈国兵，贸易统计差异与中美贸易平衡问题，经济研究，2005年第6期，82-93。
12 指当市场处于分割状态时，出口商可以根据进口地点的不同而制定不同的价格。
13 田素华．国际资本流动与货币政策效应[M]．上海：复旦大学出版社，2008。
1 Cheung,Y.,Tam,D.,Yiu,M.Does the Chinese Interest Rate Follow the US Interest Rate?[R].CESifo Working Paper,2007,No.1943.
2 谢平，罗雄．泰勒规则及其在中国货币政策中的检验[J]．经济研究，2002，3：3-21。
3 参见麦金农，大野健一，《美元和日元——化解美日两国的经济冲突》，1999。
4 季节性调整采用了Eviews软件的默认设置。
1 东中西部划分如下：东部包括北京、天津、河北、山东、辽宁、上海、江苏、浙江、福建、广东、海南等11个省级行政区；中部包括黑龙江、吉林、山西、河南、湖北、湖南、江西、安徽等8个省级行政区；西部包括内蒙古、新疆、甘肃、陕西、宁夏、重庆、四川、云南、贵州、广西、青海、西藏等12个省级行政区。
2 季节性调整采用了Eviews软件的默认设置。
3 数据处理上的不同使得本章中分地区的实证结果在数值上和第二章中总的溢出效应的实证结果存在较大差异。
4 Kenen,P.The Theory of Optimum Currency Areas:An Eclectic View,1969,in:Mundell R.and A.K.Swoboda,(eds.),Monetary Problems of the International Economy,Chicago University Press,pp.41-46.
5 McKinnon,R.Optimum Currency Areas[J].American Economic Review,1963,53(4):717-725.
6 Haberler,G.The International Monetary System:Some Recent Developments and Discussions,1970,in:G.Halm,(ed.) Approaches to Greater Flexibility of Exchange Rates,Princeton University Press,pp.115-123.
1 姜波克，杨长江，国际金融学，高等教育出版社，2004，319-320。
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2 根据《2008年国民经济和社会发展统计公报》数据计算。
3 数据来源：《中国统计年鉴》。
4 数据来源：《2008年国民经济和社会发展统计公报》。
5 Kim,S.International Transmission of U.S.Monetary Policy Shocks:Evidence from VAR's[J].Journal of Monetary Economics,2001,48:339-372.
6 Christiano, L., Eichenbaum, M. , Evans, C. Monetary Policy Shocks: What Have We Learned and to What End? [R]. NBER Working Paper, 1998, No. 6400.
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1 古典学派认为货币本身并无内在价值，它仅仅起到方便交换的作用，货币是覆盖于实物经济上的一层“面纱”，对经济并不发生实际的影响。
2 代表性的研究包括Romer and Romer (1989)、Bernanke and B1 inder (1992)以及Christiano,Eichenbaum and Evans(1994)等。
3 Bernanke,B.,Gertler,M.Inside the Black Box:The Credit Channel of Monetary Policy Transmission[J].Journal of Economic Perspectives,1995,9(4):27-48.
4 Mishkin,F.The Economics of Money,Banking and Financial Markets (seventh edition)[M].Addison Wesley,2003:616-626.
5 亦被称为货币政策传导的“货币观”和“信用观”。
6 凯恩斯本人所强调的是企业对投资支出的决策，后来的研究表明，消费者对住房及耐用品支出的决策同样也是一种投资决策。
7 Ramey,V.How Important Is the Credit Channel in the Transmission of Monetary Policy?[J].Carnegie-Rochester Conference Series on Public Policy,1993,39:1-45.
8 Meltzer,A.Monetary,Credit and (Other) Transmission Processes:A Monetarist Perspective[J].Journal of Economic Perspectives,1995,9(4):49-72.
9 Mundell,R.Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates[J].Canadian Journal of Economics and Political Science,1963,29:475-485.Mundell,R.A Reply:Capital Mobility and Size[J].Canadian Journal of Economics and Political Science,1964,30:421-431.
10 Fleming,J.Domestic Financial Policies under Fixed and under Floating Exchange Rates[R].IMF Staff Papers,1962,9:369-379.
11 Dornbusch,R.Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84:1161-1176.
12 参见姜波克，《开放经济下的政策搭配》，1999，p112-113。
13 Obstfeld,M.,Rogoff,K.Exchange Rate Dynamic Redux[J].Journal of Political Economy,1995,103:624-660.
14 c_t~j(z)表示在t期本国居民j对产品z的消费量。
15 Obstfeld,M.,Rogoff,K.Foundations of International Macroeconomics[M].Cambridge,MA:MIT Press,1996.
16 Corsetti,G.,Pesenti,P.Welfare and Macroeconomic Interdependence[R].NBER Working Paper,1997,No.63.
17 Corsetti,G.,Pesenti,P.Welfare and Macroeconomic Interdependence[J].Quarterly Journal of Economics,2001,116:421-445.
18 Benigno,P.A Simple Approach to International Monetary Policy Coordination[J].Journal of International Economics,2002,57:177-196.
19 Clarida,R.,Gali,J.,Gertler,M.A Simple Framework for International Monetary Policy Analysis[J].Journal of Monetary Economics,2002,49:879-904.
20 也就是我们常说的“以邻为壑”。
21 Frankel,J.,Rockett,K.International Macroeconomic Policy Coordination When Policy Makers Do Not Agree on the True Model[J].American Economic Review,1988,78,318-340.
22 Lastrapes,W.,Koray,F.International Transmission of Aggregate Shocks under Fixed and Flexible Exchange Rate Regimes:United Kingdom,France,and Germany,1959 to 1985[J].Journal of International Money and Finance,1990,9:402-423.
23 Stam,A.,DeLorme,Jr.C.,Fintenstadt,B.Cross National Money-Income Causality for the Floating Exchange Rate Period:Has the Influence of U.S.and German Money Persisted?[J].Journal of Macroeconomics,1991,13:207-237.
24 Burdenkin,R.,Burkett,P.The Impact of US Economic Variables on the Bank of Canada:Direct and Indirect Responses[J].Journal of International Money and Finance,1992,11:162-187.
25 Hutchison,M.,Walsh,C.Empirical Evidence on the Insulation Properties of Fixed and Flexible Exchange Rates:The Japanese Experience[J].Journal of International Economics,1992,32:241-263.
26 Holman,J.,Neumann,R.Evidence on the Cross-Country Transmission of Monetary Shocks[J].Applied Economics,2002,34:1837-1857.
27 McKibbin,S.,Sunberg,M.Macroeconomic Linkages between the OECD and Asia-Pacific Region[R].Brookings Discussion Papers,1990,No.80.
28 Mackowiak,B.External Shocks,U.S.Monetary Policy and Macroeconomic Fluctuations in Emerging Markets[J].Journal of Monetary Economics,2007,54:2512-2520.
29 Kozluk,T.,Mehrotra,A.The Impact of Chinese Monetary Policy Shocks on East Asia[R].BOFIT Discussion Papers,2008.
30 Jeong,J.,Lee,Y.International Transmission of Inflation under Alternative Exchange Rate Regimes:Empirical Evidence and Its Implications[J].Global Finance Journal,2001,12:121-137.
31 Yang,J.,Guo,H.,Wang,Z.International Transmission of Inflation among G-7 Countries:A Data-Determined VAR Analysis[J].Journal of Banking & Finance,2006,30:2681-2700.
32 赵智勇．开放经济条件下的货币政策[D]．成都：西南财经大学，1997。
33 姜波克，《开放经济下的政策搭配》，1999，p113-114。
34 吴照银．中美经济政策的传导[J]．国际金融研究，2003，3：18-21。
35 中国人民银行济南分行课题组．中国货币政策的国际影响研究[J]．济南金融，2003，1：3-6。
36 安佳．美国货币政策周期对区域经济发展的影响[J]．东岳论丛，2006，27(3)：107-111。
37 顾履宪．欧元区货币政策是否渗透着“美国因素”?[J]．中国外汇，2007，5：63-64。
38 王胜，邹恒甫．开放经济中的泰勒规则——对中国货币政策的检验[J]．统计研究，2006，3：42-46。
39 贾俊雪，郭庆旺．经济开放、外部冲击与宏观经济稳定——基于美国经济冲击的影响分析[J]．中国人民大学学报，2006，6：65-73。
40 孙立坚，孙立行．对外开放和经济波动的关联性检验——中国和东亚新兴市场国家的案例[J]．经济研究，2005，6：69-81。
1 Sims,C.Macroeconomics and Reality[J].Econometrica,1980,48:1-48.
2 代表性的研究包括Blanchard and Watson(1986)，Bernanke(1986)和Sims(1986)。
3 Wold因果链(Wold，1954)是一条递归链，当i＜j，有(?)y_(i，t)／(?)ε_(j，t)=0。
4 Christiano,L.,Eichenbaum,M.,Evans,C.Monetary Policy Shocks:What Have We Learned and to What End?[R].NBER Working Paper,1998,No.6400.
5 Bernanke,B.,Blinder,A.The Federal Funds Rate and the Channels of Monetary Transmission[J].American Economic Review,1992,82(4):901-921.
6 2002=100，数据经季节性调整。
7 1982-1984=100，数据经季节性调整。
8 1982=100，数据经季节性调整。
9 数据经季节性调整。
10 季节性调整采用了Eviews软件的默认设置。
11 本章实证没有对变量进行差分以消除非平稳因素，主要是考虑到：1．差分会改变经济含义，在进行脉冲响应分析时，新息项就不再是货币政策冲击了。大量研究美国货币政策传导的经典文献(如Bernanke and Gertler(1995)，Christiano et al．(1998)等)也都直接使用了变量的水平值：2．采用和国外同类文献(如Shin(2000)，Kim(2001)等)相同的数据处理方法，可以方便地进行实证结果的对比。
12 1994年底美联储有过一次加息幅度达75个基点。
13 内部时滞是指中央银行从制定政策到采取实际行动所需要的时间。
14 外部时滞是指从中央银行实际执行货币政策到这一政策在宏观经济中产生相应效应之间的时间。
15 参见LeSage，J．，Appl ied Econometrics using MATLAB，1999．
16 GDP in billions of chained 2000 dollars，数据经季节性调整。
1 姜波克，《开放经济下的政策搭配》，1999，p114—120。
2 贾俊雪，郭庆旺．经济开放、外部冲击与宏观经济稳定——基于美国经济冲击的影响分析[J]．中国人民大学学报，2006，6：65-73。
3 许少强．美元霸权：生存基础、影响和我国的对策[J]．复旦学报(社会科学版)，2005，4：33-38。
4 参照Sheehan(1992)。
5 依照Cosimano and Van Huyck(1989)进行设定。
6 固定汇率制意味着△e~*=0。
7 Barth,J.,Sickles,R.,Wiest,P.Assessing the Impact of Varying Economic Conditions on Federal Reserve Behavior[J].Journal of Macroeconomics,1982,4(1):47-70.
8 数据来源：《中国统计年鉴》。
9 谢平，张晓朴．货币政策与汇率政策的三次冲突——1994—2000年中国的实证分析[J]．国际经济评论，2002，Z3：30-35。
10 尹翔硕，2009，金融危机对中国贸易经济的影响，复旦大学经济学院。
11 对于中美双边贸易的统计数据，中国海关统计(表3—4)和美国经济分析局统计(表3—5)存在差异。关于中美贸易统计差异的进一步分析可参见：沈国兵，贸易统计差异与中美贸易平衡问题，经济研究，2005年第6期，82-93。
12 指当市场处于分割状态时，出口商可以根据进口地点的不同而制定不同的价格。
13 田素华．国际资本流动与货币政策效应[M]．上海：复旦大学出版社，2008。
1 Cheung,Y.,Tam,D.,Yiu,M.Does the Chinese Interest Rate Follow the US Interest Rate?[R].CESifo Working Paper,2007,No.1943.
2 谢平，罗雄．泰勒规则及其在中国货币政策中的检验[J]．经济研究，2002，3：3-21。
3 参见麦金农，大野健一，《美元和日元——化解美日两国的经济冲突》，1999。
4 季节性调整采用了Eviews软件的默认设置。
1 东中西部划分如下：东部包括北京、天津、河北、山东、辽宁、上海、江苏、浙江、福建、广东、海南等11个省级行政区；中部包括黑龙江、吉林、山西、河南、湖北、湖南、江西、安徽等8个省级行政区；西部包括内蒙古、新疆、甘肃、陕西、宁夏、重庆、四川、云南、贵州、广西、青海、西藏等12个省级行政区。
2 季节性调整采用了Eviews软件的默认设置。
3 数据处理上的不同使得本章中分地区的实证结果在数值上和第二章中总的溢出效应的实证结果存在较大差异。
4 Kenen,P.The Theory of Optimum Currency Areas:An Eclectic View,1969,in:Mundell R.and A.K.Swoboda,(eds.),Monetary Problems of the International Economy,Chicago University Press,pp.41-46.
5 McKinnon,R.Optimum Currency Areas[J].American Economic Review,1963,53(4):717-725.
6 Haberler,G.The International Monetary System:Some Recent Developments and Discussions,1970,in:G.Halm,(ed.) Approaches to Greater Flexibility of Exchange Rates,Princeton University Press,pp.115-123.
1 姜波克，杨长江，国际金融学，高等教育出版社，2004，319-320。
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