美国货币政策不确定性的风险外溢及其应对研究——基于E11国家面板数据模型的分析

A Study on the Risk Spillover of the Uncertainty of US Monetary Policy and Its Countermeasures——Analysis based on E11 National Panel Data Model

为了遏制高通货膨胀率,美国采取紧缩性货币政策,频繁调高基准利率,导致大量资本流入美国,使新兴经济体遭受货币贬值与资本外流的风险。本文利用1993-2021年11个新兴经济体的宏观经济指标,构建面板向量自回归模型,分析美国货币政策不确定性对这些国家的经济增长、对外出口、股票交易以及汇率等变量的动态溢出效应。研究发现:美国的货币政策不确定性在实体经济渠道和金融渠道对新兴经济体产生明显外溢影响。在当期就会出现大幅度的负向冲击,之后逐步恢复到原来的水平。基于此,中国应加强对美国货币政策的研判,以便及时采取对冲性政策,缓冲政策变动带来的负面影响;要坚持推动金融领域制度改革,完善金融监管机制和汇率形成机制,有效提升金融领域防范风险的能力;要与新兴经济体协调宏观经济政策,加强新兴经济体之间的政策联动,共同抵御来自外部的经济冲击。

In order to curb the high inflation rate,the United States adopted a tightening monetary policy and frequently raised the benchmark interest rate,which led to a large amount of capital inflows to the United States,and exposed emerging economies to the risk of currency depreciation and capital outflow.Using the macroeconomic indicators of 11 emerging economies from 1993 to 2021,this paper constructs a panel vector autoregressive model to analyze the dynamic spillover effects of the uncertainty of US monetary policy on the economic growth,foreign exports,stock trading and exchange rate of these countries.This paper found that the uncertainty of US monetary policy has a significant spillover effect on emerging economies in the real economy and financial channels.There will be a significant negative impact in the current period,and then gradually return to the original level.Based on this,China should strengthen the study and judgment of the US monetary policy,so as to take hedging policies in time and cushion the negative impact of policy changes;China should continue to promote institutional reform in the financial sector,improve the financial supervision mechanism and the exchange rate formation mechanism,and effectively enhance the ability to prevent risks in the financial sector;China should coordinate macroeconomic policies with emerging economies,strengthen policy linkage among emerging economies,and jointly resist external economic shocks.