外部货币政策冲击对我国经济的影响及传导途径——基于Global-VAR方法的实证研究

The Impacts of External Monetary Policy Shocks on China's Economy and the Transmission Channels: Based on Global-VAR Model

采用一个包含35个国家和地区的全局向量自回归(Global-VAR)模型,通过广义脉冲响应函数实证检验美国及欧元区的货币政策对我国经济的影响及传导途径。结果表明:国外的货币政策对我国的产出的影响是暂时的,对价格水平的影响是持久的,说明外部政策的冲击效应最终被价格水平所吸收;对我国的利率及汇率没有显著影响,对货币供应量及世界利率则有显著影响,说明外部政策冲击主要通过货币供应量及世界利率途径发生作用。因此,央行应密切关注国外政策变化,通过前瞻性的操作妥善应对外部政策冲击的影响。

In the post-crisis era, some countries have frequently monetary policy operation. Based on a GVAR model, this paper examines the impacts and the transmission channels of United States and euro area monetary policy shocks on China. The results show: Foreign monetary policies have significant impacts on China's output and price level. Against the temporary impacts on output, whereas the impacts on price level is lasting, which means the external policy impact was finally absorbed by price level; Contrast to a significant impacts on our money supply and world interest rate, the foreign monetary policies has no significant impacts on China's interest rate and exchange rate, which means the money supply and the world interest rate are the main Transmission Channels. Therefore, the central bank should pay close attention to changes in foreign policy and take a forward-looking operation.