新兴市场国家对发达国家量化宽松政策的回溢效应

The Spillback Effect of Emerging Market Countries on Quantitative Easing Policy in Developed Countries

本文通过建立短期两国开放经济模型和SVAR模型,从理论和实证角度分析新兴市场国家对量化宽松政策的回溢效应。理论分析表明,在量化宽松政策背景下,新兴市场国家会通过变动外汇储备、国内货币政策以及汇率等渠道对量化宽松政策产生明显的回溢效应。实证分析进一步发现,以"金砖五国"为代表的新兴市场国家整体上对美国量化宽松政策存在回溢效应,且中国的回溢效应最为显著。但是,对于日本及欧洲量化宽松货币政策的回溢效应并不明显。从分变量来看,新兴市场国家GDP的冲击作用及贡献程度均高于其他变量;中国各类变量均存在明显的冲击作用,其中,国债收益率和外汇储备规模是短期冲击,GDP和汇率则存在长期稳定冲击。

By establishing an open economy model of the two countries and the SVAR model of the BRIC countries, this paper analyzes the spillback effect of the emerging market countries on the quantitative easing policy of developed countries from the theoretical and empirical perspectives. This paper argues that in the context of quantitative easing, emerging market countries wiii have a spillback effect on quantitative easing through the channels of changing foreign exchange reserves, domestic monetary policy and exchange rate. The ＂BRICS＂ as a whole have a spillback effect on quantitative easing in the United States. China in particular has the most significant effect. The spillbaek effect of emerging market countries is mainly due to the quantitative eas- ing policy of the United States rather than Japan or Europe. The impact and contribution of GDP in emerging market countries are higher than other variables. All the variables of China have a significant impact. The bond yields and foreign exchange re- serves have a short-term impact, while GDP and exchange rate have a stable impact in the long term.