美国四轮量化宽松货币政策对我国跨境资本流动的影响分析

A Study on the Influence of U.S.Quantitative Easing Monetary Policy on China's Cross-border Capital Flows

本文以2008年1月至2013年3月为样本区间,通过构造VAR模型进行脉冲响应和方差分解分析,研究美国QE1-QE4的实施对于我国跨境资本流动的影响.选取美元增发作为美国QE政策的直接操作变量,人民币汇率、中美利差和大宗商品价格作为美国QE政策的间接影响变量,发现以上变量均对我国跨境资本流动有显著影响,且发挥作用的持续时间均在半年左右,但影响强弱略有不同.其中,价格渠道影响最大,利率次之,汇率较小,美元增发影响最小.因此,我国需要完善价格决定机制,发挥市场作用,引导资本合理流动与配置.

This paper studied the influence of U. S. quantitative easing monetary policy on China＇s cross--border capital flows during the sample interval from January 2008 to March 2013 by constructing a VAR model to make impulse response and variance decomposition analysis. In the variable system, the dollar supply was the policy-- representative variable, and ex- change rate, interest rate and commodity price were regarded as the indirect influential variable. The research results show that all the explanatory variables are found to have a significant impact on Chings cross--border capital flows, and the duration of each channel is about six months. However, the degrees of impact are different. Among them, the price channel has the grea- test impact; interest rates follows, exchange rates＇ degree is small, dollar supply has the least impact. Therefore, China needs to improve the price determination mechanism, let the market play a decisive role to guide the rational flow of capital and con- figuration.