美国货币政策变动对中国经济的影响:兼论QE政策变化的经济效应

Study on the Effects of US Monetary Policy Shocks on China's Economic Fluctuation

笔者通过对世界33个主要经济体建立全球向量自回归模型(GVAR,global vector autoregressive),模拟分析了美国货币政策冲击对中国宏观经济变量产生的影响作用,探讨了美国实行QE与退出QE可能产生的经济效应。与其他同类研究方法相比,GVAR使用向量误差修正模型将各国之间的经济波动相互联结,可以同时考虑多种经济冲击的跨国传导渠道及其冲击效应,能够尽最大可能挖掘现实数据隐含的经济关系。研究发现,当美国货币供给增速提升时,中国通货膨胀短期上升之后回复最初的状态。为应对可能的输入型通货膨胀风险,中国降低货币供给增速,促使短期利率提升,人民币对美元汇率出现升值。美国在宽松货币政策作用下获得经济增长及资产价格上升效应,在一定程度上促使中国外贸增长,从而仍然会给中国经济增长带来正向拉动作用。当美国短期利率上升实行紧缩型货币政策时,中国短期利率上升,经济增速下滑,通货膨胀水平下降。美国退出QE可能在一定程度上会吸引国际资本退出中国市场,对中国经济产生负面影响,但是总体来看这种负面影响并不足以为惧。值得我们警惕的主要还是中国经济自身运行过程中结构调整可能产生的深层次问题。

This paper investigates the economic effects of US monetary policy shocks by employing the GVAR model containing 33 economies over the period from 1979 Q2 to 2011 Q2. The effects of US monetary shocks on China＇s main economic variables are different with that of other economies＇ . When there is a positive shock on US monetary supply, China＇s inflation recover to the original level after up rise for several periods. China raises the short term interest rate and decreases monetary supply to prevent potential input inflation. Renminbi＇s exchange rate also appreciates against US dollar. The expansion of US monetary supply will raise US economic growth rate and equity price, which will raise up China＇s export, through this channel Chi- na also obtain economic growth effect. When there is a positive chock to US short term interest rate, China＇s Short term interest rate will increase, the growth rate and inflation decrease, Renminbi＇s exchange rate appreciates again. Although US monetary policy changes might influence China＇s economy in some extent, the main risk factors that China should worry about are come from China＇s economic structure changes.