国际货币政策对中国汇率和经常账户的溢出效应

The Spillover Effect of International Monetary Policy on China's Exchange Rate and Trade Balance

文章应用时变参数模型分析了美国等国际储备货币国家对中国经济的溢出效应机制,结果发现这些国家的货币政策变化能够对中国经济产生时变性影响。首先,国际货币政策在变化窗口期会给中国经济产生非常显著的溢出效应,其次,从影响的机制来看,国际货币政策的变化会对中外利差产生影响,人民币汇率也会对中外利差的变化产生影响,而人民币汇率和中国贸易差额反过来也会引起中外利差波动,但是人民币汇率对贸易差额的影响并不符合传统的汇率弹性理论。

Based on a time-varying parameter mode, this paper analyzes the spillover effect of United States of America, Japan and European＇s monetary policy on China＇s economy after the recent financial crisis, and finds that the effects vary. Firstly, the international monetary policy affects mostly when it begins or comes to end, Secondly, the international monetary policy＇ effect on China＇s exchange rate and trade balance varies when time goes on; RMB exchange rate is sensitive to the interest spread, and RMB exchange rate and China＇s trade balance shocks cause variation to the interest rate spread in different time, but the exchange rate elasticity theory is not established in China. Finally, it gives some recommendations for how to deal with the impact of international monetary policy shocks.