美国货币政策冲击的外溢作用分析——兼论“二元悖论”与“三元悖论”冲突

An Analysis of the Spillover Effect of US Monetary Policy Shock:On the Conflict between Dual Paradox and Ternary Paradox

基于DSGE模型讨论货币政策与资本管制的搭配问题,以及进一步采用TVP-SV-VAR方法分析美国货币政策冲击对中国宏观经济的影响后发现:美国货币政策冲击显著影响了中国的利率水平、产出缺口、通货膨胀与汇率水平;随着冲击时间的后移,中国利率水平遭受的影响逐渐下降,但美国货币政策冲击给中国其他经济变量带来了更大的波动性,损害了中国居民的福利水平。中国不应轻率地放开资本管制,应致力于降低金融杠杆,减小金融市场存在的价格泡沫,让非理性的资产价格逐渐回归理性,使资产价格真正围绕其标的价值上下波动;待中国金融市场逐渐回归常态后,再逐渐放开资本管制措施,以提高消费者的福利水平。

This paper employs a DSGE model to discuss the matching between monetary policy and capital control;then it makes an analysis of the impact of US monetary policy shock on capital control with the TVP-SV-VAR method. The findings show that US monetary policy shock has significantly influenced China’s interest rate, output gap, inflation rate and exchange rate;with the retroposition of the shock time, the impact on China’s interest rate will gradually become weakened,but the shock would bring more volatility on other China’s macro variables, thus China’s welfare will be harmed. China cannot release its capital control rashly, instead, it should make great efforts to lower financial leverage and reduce price bubbles in the financial markets, so as to make irrational asset prices return to rational and make the asset price fluctuate around the real value of the object.Once China’s financial markets return to normal, China can again release its capital control measures gradually, which can improve the welfare of the consumers.