美国货币政策变化对中国货币政策的动态溢出效应——基于TVP-VAR-SV模型的分析

Dynamic Spillover Effect of the US Monetary Policy Changes on China's Monetary Policy——Analysis Based on TVP-VAR-SV Model

本文对货币政策溢出效应的传导机制进行了理论分析,应用时变参数模型分析了2007年1月—2016年3月间美国货币政策变化及其对中国货币政策的动态溢出效应,发现美国在退出量化宽松政策前后货币政策变量与其自身产出和物价的影响关系存在非对称性,即在退出前后其产出和物价对货币政策变量的影响有较大变化,而反过来的影响却没有显著的差异。美国退出量化宽松前后对中国货币政策变量产生了不同的影响:首先,美国在退出量化宽松前后对中国货币政策变量影响的方向和程度出现了大的变化;其次,从影响的期限来看,美国货币供应量变化的影响主要集中于短期,而利率变化的影响主要集中于中长期。

In this paper, we firstly analyze the monetary policy spillover effect theoretically, and then we study the dynamic spillover effect of US monetary policy variation on China＇s monetary policy from January 2007 to March 2016. We find thatthere exists an asymmetric affect relation between the US monetary policy and its product and price, that is, the US product and price affect its monetary policy significantly before and after the QE period, but it is not the same case vice versa. However, the effect of US monetary policy on China＇s monetary policy differentiates before and after the QE policy. Firstly, before and after the QE policy the direction and extent of the effect changes. Secondly, the effect from US＇ monetary supply mainly comes in the short run but in the long run the effect mainly comes from the interest rate. Finally, we also put forward some policy recommendations on how China＇s monetary policy should re- act to US monetary policy variation.