发达国家量化宽松货币政策对产出的溢出效应——基于VAR模型的实证分析及国际间比较

Spillover Effects of the Developed Countries' Quantitative Easing Policy on Outputs——An Empirical Analysis and International Comparison Based on VAR Model

本文通过构建向量自回归(VAR)模型,以美国为代表,分析了发达国家量化宽松政策在扩张和退出情形下对产出的溢出效应。结果表明:1.面对美国量化宽松政策的冲击,新兴经济体产出的脆弱性远高于发达工业国家;2.无论美国的量化宽松政策进一步扩张还是退出,其对发达国家产出的溢出效应均为正向;3.由于经济水平、贸易结构、地理位置和金融开放程度存在差异,溢出效应分化明显;4.一国的外汇市场管制会对货币政策国际传导造成时滞,并弱化其影响。

This paper analyzes the spillover effects of America＇s QE policies on outputs of itself and other in- dustrial countries. Empirical results showed that the spillover effects of America＇s QE policy presented huge asym- metry. 1. Facing with the shock of developed countries＇ QE policy, outputs of emerging economies are much more fragile than those of developed industrial economies. 2. The spillover effects on developed countries will be posi- tive, no matter QE expand further or exit. 3. The spillover effects of QE on the outputs of emerging economies dif- fer significantly. 4. Compared with the countries with looser regulation of their foreign exchange market, the im- pacts of the QE on those countries with strict regulation last longer and are weaker. In order to prevent the risks caused by the changes of developed countries＇ monetary policies, the adjustment and improvement of China＇s rele-vant policies and mechanisms are needed.