美国货币政策对金砖国家的溢出效应研究——基于VAR模型的比较分析

Research on the Spillover Effect of U.S. Monetary Policy to the BRICS Countries :Comparative Analysis Based on VAR Model

美国货币政策对其他经济体会产生溢出效应,对新兴经济体的影响更加明显。本文选取巴西、俄罗斯、印度、中国和南非5个金砖国家2000-2012年的消费价格指数、货币供给量及证券指数的月度数据与美国的相应指标构造向量自回归模型,证实美国货币政策对新兴经济体有不同程度的溢出效应。研究结果表明,美国货币政策对南非的消费价格指数、俄罗斯的货币供给影响最显著,对5个金砖国家的证券市场会产生影响。

The US monetary policies have more direct impact on emerging markets. This paper analyzes the spillovers of US monetary policy to the BRICS. The spillovers effects are investigated by establishing VAR models and selecting a group of variables from both US and the BRICS. The monthly data is selected from 2000 to 2012. The empirical study shows that US monetary policy spillovers do exit among the sample countries, and the US monetary policies have especially powerful influence on South Africa＇s CPI, Russia＇s M2 and Security Index of all the BRICS.