全球失衡条件下的货币政策传导机制:基于估值效应视角

Monetary Policy Transmission Mechanism in the Context of Global Imbalance:A Study Based on the Perspective of Valuation Effects

本文基于1995-2018年43个代表性国家的跨国分析表明,全球失衡通过估值效应在一定程度上整体增强了货币政策传导效果。外币净资产为正的发达国家受到货币政策冲击后对外净资产会产生估值效应,但不会影响经济增长,而该效应对新兴市场国家经济增长有显著影响,存在货币政策估值效应传导渠道。其中,外币净资产为正的新兴市场国家受到货币政策冲击后产生的估值效应会削弱货币政策传导效果,外币净资产为负的则会强化货币政策的传导效果。在遭到货币政策冲击后,中国对外净资产同样能够产生估值效应,但未显著影响经济增长。本文为全球失衡条件下的货币政策分析提供了新的视角,为进一步推动人民币国际化和国际货币体系改革提供了新的理论和经验证据。

The impact of global imbalance on the monetary policy transmission mechanism has long been drawing attention,but systematic research from a valuation effects perspective is scarce.Based on a theoretical analysis,this paper conducts a cross-border empirical analysis with data from 43 representative countries from between 1995 and 2018.The results of the study show that the valuation effects transmission channel of monetary policies does exist,and the effect of monetary policy implementation has been to a certain extent reinforced by the global imbalance through valuation effects.The heterogeneity analysis shows that developed countries with positive net assets in foreign currency produce valuation effects on their external net assets after being shocked by monetary policy,but the valuation effects do not affect economic growth.However,the valuation effects on emerging market countries’external net assets after being shocked by monetary policy have a clearly significant effect on economic growth,and it is noted that there is a monetary policy valuation effects transmission channel.Among these,the monetary policy effects will be weakened by the valuation effects in emerging market countries with positive net assets in foreign currency,and they are reinforced by the valuation effects in emerging market countries with negative net assets in foreign currency after the monetary policy shock.Based on the Bayesian VAR model,an empirical analysis of China’s monetary policy valuation effects transmission channel is also carried out and it is shown that after the monetary policy shock,valuation effects occur,but they do not significantly affect economic growth.This paper provides a new perspective on monetary policy analysis in the context of global imbalance,as well as new theoretical and empirical evidence for the subsequent promotion of RMB internationalisation and reform of the international monetary system.