中国与发达经济体的货币政策的溢出与反向溢出效应

Spillover and Reverse Spillover Effects of Monetary Policy in China and Developed Economies

世界各国经济复苏态势的显著差异和主要经济体货币政策明显分化,使得货币政策的溢出效应日益突出。本文梳理了货币政策溢出效应的主要渠道,并基于向量自回归模型测度了美国、欧元区、英国和日本货币政策对我国的溢出效应,以及我国货币政策对上述经济体的反向溢出效应。研究发现:发达经济体货币政策对我国经济、金融运行产生明显的溢出效应;我国对不同发达经济体货币政策调整的反应模式存在一定的聚类性;我国货币政策对发达经济体经济、金融运行也有明显的反向溢出效应。

The spillover effect of monetary policy is increasingly prominent due to the remarkable differences in the recovery situation of the world’s economies and the obvious differentiation of monetary policies of major economies.This paper summarizes the main channels of monetary policy spillover effect,and measures the spillover effect of monetary policy in U.S.,Euro zone,UK and Japan on China based on vector auto-regression model,as well as the reverse spillover effect of China’s monetary policy on the above-mentioned economies.It finds out that monetary policy of developed economies has obvious spillover effect on China’s economic and financial operation,that there is a certain clustering of China’s response modes to monetary policy adjustment in different developed economies,and China’s monetary policy also has an obvious reverse spillover effect on the economic and financial operation of developed economies.